Displaying 3 results from an estimated 3 matches for "crossequconst".
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...ted
cec1=3 # restrict the coefficient on the dummy to be equal across
equations
# Estimate the model with `sysGmm` using different weighting matrices:
identity, "optimal" and manually specified
m1a <- sysGmm(g=ES_g, h=ES_h, wmatrix="ident" , weightsMatrix=NULL,
vcov=vc1, crossEquConst=cec1, data=data1); summary(m1a)
m1b <- sysGmm(g=ES_g, h=ES_h, wmatrix="optimal", weightsMatrix=NULL,
vcov=vc1, crossEquConst=cec1, data=data1); summary(m1b)
m1c <- sysGmm(g=ES_g, h=ES_h, weightsMatrix=Wmat,
vcov=vc1, crossEquConst=cec1, data=data1); summary(m1c)...
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...coefficient on the dummy to be equal across
> equations
>
> # Estimate the model with `sysGmm` using different weighting matrices:
> identity, "optimal" and manually specified
> m1a <- sysGmm(g=ES_g, h=ES_h, wmatrix="ident" , weightsMatrix=NULL,
> vcov=vc1, crossEquConst=cec1, data=data1); summary(m1a)
> m1b <- sysGmm(g=ES_g, h=ES_h, wmatrix="optimal", weightsMatrix=NULL,
> vcov=vc1, crossEquConst=cec1, data=data1); summary(m1b)
> m1c <- sysGmm(g=ES_g, h=ES_h, weightsMatrix=Wmat,
> vcov=vc1, crossEquConst=cec1, data=da...
2024 Apr 23
0
System GMM fails due to computationally singular system. Why?
..."~
x",i," + dummy"))) # define the moment conditions for GMM
}
# Estimate the model with `sysGmm` using different weighting matrices:
identity, "optimal" and manually specified
m1 <- sysGmm(g=ES_g, h=ES_h, wmatrix="ident", vcov="MDS" ,
crossEquConst=3, data=data1) # Error: system is computationally singular
m1 <- sysGmm(g=ES_g, h=ES_h, wmatrix="ident", vcov="HAC" ,
crossEquConst=3, data=data1) # Error: system is computationally singular
m1 <- sysGmm(g=ES_g, h=ES_h, wmatrix="ident", vcov="CondHom"...