GMM-SYS (Panel Data)
Posted: 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!
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!