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system gmm with weight
Posted: Wed Aug 21, 2013 7:16 am
by xs225002
Hi there,
Is there any way to give weight to the system.gmm estimation?
thanks!
Re: system gmm with weight
Posted: Wed Aug 21, 2013 8:25 am
by EViews Gareth
Assuming you mean a user defined weighting matrix, unfortunately not :(
Re: system gmm with weight
Posted: Wed Aug 21, 2013 4:06 pm
by xs225002
Hi Gareth,
I mean how to give analytical weight to the observations in system.gmm?
Re: system gmm with weight
Posted: Wed Aug 21, 2013 4:13 pm
by EViews Gareth
What do you mean by analytical weight? You want to define your own weighting matrix? Can't be done.