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GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 12:55 am
by Lassebn
I want to make a GMM estimation but with the identity matrix and the weighting matrix from Hansen and Jagannathan (1997) in stead of the spectral density matrix, which is standard in Eviews GMM estimation. Is it possible to specify the weighting matrix manually?
I use Eviews 7..
Thanks
Lasse
Re: GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 7:55 am
by EViews Gareth
For single equation GMM estimation, yes. Just use "User-Specified" as the estimation weighting matrix.
Re: GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 8:35 am
by Lassebn
Thank you for your reply EViews Gareth..
Sorry, but I forgot to mention, that i need to specify my own weighting matrix in GMM for a system of equations
Re: GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 8:35 am
by EViews Gareth
That is not currently possible.
Re: GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 9:24 am
by Lassebn
Oh no :( !!!!!!!! But thanks for your reply
Re: GMM with a weighting matrix of my own choise
Posted: Fri May 10, 2013 9:41 am
by Lassebn
But I can see, that it is possible to use the identity matrix as weighting matrix in GMM estimation involving a system in stead of the the Hansen (1982) weighting matrix.. That will have to do..