system gmm with weight

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xs225002
Posts: 4
Joined: Mon Aug 20, 2012 10:41 pm

system gmm with weight

Postby xs225002 » Wed Aug 21, 2013 7:16 am

Hi there,

Is there any way to give weight to the system.gmm estimation?

thanks!
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EViews Gareth
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Re: system gmm with weight

Postby EViews Gareth » Wed Aug 21, 2013 8:25 am

Assuming you mean a user defined weighting matrix, unfortunately not :(
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xs225002
Posts: 4
Joined: Mon Aug 20, 2012 10:41 pm

Re: system gmm with weight

Postby xs225002 » Wed Aug 21, 2013 4:06 pm

Hi Gareth,

I mean how to give analytical weight to the observations in system.gmm?
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: system gmm with weight

Postby EViews Gareth » Wed Aug 21, 2013 4:13 pm

What do you mean by analytical weight? You want to define your own weighting matrix? Can't be done.
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