GMM-SYS (Panel Data)

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

GMM-SYS (Panel Data)

Postby gftiryaki » Thu Dec 26, 2013 6:42 am

I was wondering if the following procedure would give me the same result as the Blundell-Bond GMM-SYS estimator for panel data (as far as I know, it is not possible to run GMM-SYS directly using E-Views).
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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