GMM estimation question
Posted: Wed Aug 01, 2012 1:41 pm
Hello dear forum users
I am new in this great community (and in econometrics in general...), and this is my first post, so please be lenient in my poor question.
I wish to estimate p=lamda*mc + beta p(1) via GMM
The coefficient lamda is given by lamda= [(1-thita) * (1- beta*thita)] / thita
the instrument set includes 4 lags of p, mc, og, ir, lc, and oil
I wish to get GMM estimates of lamda, beta and thita, using the orthogonality conditions that are shown in the attached image.
I have written in the estimation specification field:
p2 mc2 p2(1)
and in the instrument list field:
p(-3), p(-2), p(-1), p, mc(-3), mc(-2) mc(-1) mc og(-3) og(-2)............oil(-1) oil
BUT i am sure that my estimation specification and my instruments are written wrong.
Can you please help me in showing me the correct specification?
Thank you in advance
I am new in this great community (and in econometrics in general...), and this is my first post, so please be lenient in my poor question.
I wish to estimate p=lamda*mc + beta p(1) via GMM
The coefficient lamda is given by lamda= [(1-thita) * (1- beta*thita)] / thita
the instrument set includes 4 lags of p, mc, og, ir, lc, and oil
I wish to get GMM estimates of lamda, beta and thita, using the orthogonality conditions that are shown in the attached image.
I have written in the estimation specification field:
p2 mc2 p2(1)
and in the instrument list field:
p(-3), p(-2), p(-1), p, mc(-3), mc(-2) mc(-1) mc og(-3) og(-2)............oil(-1) oil
BUT i am sure that my estimation specification and my instruments are written wrong.
Can you please help me in showing me the correct specification?
Thank you in advance
- orthogonality conditions
- orthogonality.jpg (33.59 KiB) Viewed 1934 times