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I am using the GMM

usff=c(2)*usff(-1)+(1-c(2))*(c(1)+c(3)*usinfl(+12) +c(4)*usgap1)

instruments are

c usgap1(-1) usgap1(-2) usgap1(-3) usgap1(-4) usgap1(-5) usgap1(-6) usgap1(-9) usgap1(-12) usinfl(-1) usinfl(-2) usinfl(-3) usinfl(-4) usinfl(-5) usinfl(-6) usinfl(-9) usinfl(-12) usff(-1) usff(-6) usff(-9) usff(-12) dlpcm(-1) dlpcm(-2) dlpcm(-3) dlpcm(-4) dlpcm(-5) dlpcm(-6) dlpcm(-9) dlpcm(-12)


the problem whcih i am getting is that the fitted and forecasted values are not same.

what is the reason for this

You have a dynamic specification. Forecasting and getting fitted values are not the same thing. The former uses forecasted values of the lagged dependent, the latter uses the actual values.