System of Equations with Panel GMM

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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cherish
Posts: 6
Joined: Sun Jun 16, 2013 11:06 pm

System of Equations with Panel GMM

Postby cherish » Wed Dec 18, 2013 9:08 pm

Dear Gareth,
I'm trying to estimate a system of equations with Panel GMM but could not find a way in EViews. I've searched this forum and found a reply posted by you in Jan 2012, that EViews doesn't support panel GMM for systems. Is this still the position please? If there is a way in EViews now then please kindly advise. Many thanks!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13585
Joined: Tue Sep 16, 2008 5:38 pm

Re: System of Equations with Panel GMM

Postby EViews Gareth » Wed Dec 18, 2013 10:13 pm

Nothing has changed.

cherish
Posts: 6
Joined: Sun Jun 16, 2013 11:06 pm

Re: System of Equations with Panel GMM

Postby cherish » Thu Dec 19, 2013 7:12 am

Thanks Gareth for the information.

gftiryaki
Posts: 8
Joined: Sat Oct 05, 2013 9:35 am

Re: System of Equations with Panel GMM

Postby gftiryaki » Thu Dec 19, 2013 11:11 am

I was wondering if the following procedure would give me the same result as the Blundell-Bond GMM-SYS estimator. First, I get my panel dataset and insert the data into e-views as an unstructured workfile; then, I run a system of equations using GMM as follows:
* First equation: I set the equation in differences and use the lagged levels as instruments;
* Second equation: I set the equation in levels and use the lagged differences as instruments;
Would this work?
Thanks in advance!


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