standard error about system.gmm
Posted: Wed Aug 21, 2013 7:19 am
Hi there
I am new to eviews, maybe this a silly question. When I do system.gmm, using a command XXXX.gmm(w), and the output shows
System: ARMIGIN
Estimation Method: Generalized Method of Moments
Date: 08/22/13 Time: 00:09
Sample: 1 3455
Included observations: 3455
Total system (balanced) observations 27640
White Covariance
One-step final coefficients from consistent one-step weighting matrix
Convergence not achieved after: 1 weight matrix, 8 total coef iterations
Does this mean the covariance matrix used to compute P-value is robust to heterscedasticity?
Thanks a lot!
I am new to eviews, maybe this a silly question. When I do system.gmm, using a command XXXX.gmm(w), and the output shows
System: ARMIGIN
Estimation Method: Generalized Method of Moments
Date: 08/22/13 Time: 00:09
Sample: 1 3455
Included observations: 3455
Total system (balanced) observations 27640
White Covariance
One-step final coefficients from consistent one-step weighting matrix
Convergence not achieved after: 1 weight matrix, 8 total coef iterations
Does this mean the covariance matrix used to compute P-value is robust to heterscedasticity?
Thanks a lot!