Displaying 3 results from an estimated 3 matches for "condhom".
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2024 Apr 23
0
System GMM fails due to computationally singular system. Why?
...ple below.
The fitting routine yields the following error:
"Error in solve.default(w, t(hm)) :
system is computationally singular: reciprocal condition number =
3.35459e-19"
This happens only for certain types of the covariance matrix estimator:
`MDS` and `HAC`. It does not happen for `CondHom`. Also, I am able to
estimate the model without a problem using restricted OLS estimation via
`systemfit::systemfit` (code not provided). I think the latter estimator is
algebraically the same as `gmm::sysGmm` with identity weighting matrix and
the `CondHom` option for the error covariance matrix....
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...ces. I get the same results (point estimates, standard errors and
anything else that I can see (**except** for the value of the $J$-test)
regardless of the weighting matrix. I do not think this is correct.
The phenomenon persists regardless of what type of covariance matrix
estimator I use: `MDS`, `CondHom` or `HAC`.
It also persists regardless of whether I use unrestricted estimation or
restrict the coefficients on one of the variables (the common regressor) to
be equal across equations.
**Question:** Why does system GMM via `gmm::sysGmm` yield identical results
for any weighting matrix? How can I...
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...results (point estimates, standard errors and
> anything else that I can see (**except** for the value of the $J$-test)
> regardless of the weighting matrix. I do not think this is correct.
> The phenomenon persists regardless of what type of covariance matrix
> estimator I use: `MDS`, `CondHom` or `HAC`.
> It also persists regardless of whether I use unrestricted estimation or
> restrict the coefficients on one of the variables (the common regressor) to
> be equal across equations.
>
> **Question:** Why does system GMM via `gmm::sysGmm` yield identical results
> for any...