search for: gmm

I am trying to generate a set of data points from a Gaussian mixture model. My mixture model is represented by a data frame that looks like this: > gmm weight mean sd 1 0.3 0 1.0 2 0.2 -2 0.5 3 0.4 4 0.7 4 0.1 5 0.3 I have written the following function that generates the appropriate data: gmm_data <- function(n, gmm) { c(rnorm(n*gmm[1,]$weight, gmm[1,]$mean, gmm[1,]$sd), rnorm(n*gmm[2,]$weight, gmm[2,]$mean, gmm[...

Hello -- The question I have is about the gmm() function from the 'gmm' package (v. 1.4-5). The manual accompanying the package says that the gmm() function is programmed to use either of four numerical solvers -- optim, optimize, constrOptim, or nlminb -- for the minimization of the GMM objective function. I wonder whether there is...

Dear Ivo, dear list, (see: Message: 70 Date: Thu, 26 Mar 2009 21:39:19 +0000 From: ivowel at gmail.com Subject: [R] pgmm (Blundell-Bond) sample needed) I think I finally figured out how to replicate your supersimple GMM example with pgmm() so as to get the very same results as Stata. Having no other regressors in the formula initially drove me crazy. This was a case where simpler models are trickier than more compli...

Hi, I'm trying to use gmm package in order to calculate linear regression (I need to use the gmm for other application and this is a prior test I'm doing). I've defined a function for linear regression with 2 variables (x[,1] holds the y values, while x[,2:3] holds the x values): function(tet, x) { m1 <- (x[,1...

Dear, I built the generalized method of moments model to estimate the sales rank in the bookstore using plm package in R. The equation is: data1.gmm <- pgmm(dynformula(lnsales_rank ~ ln_price + avg_ham_rate + avg_spam_rate + num_of_ham+ num_of_spam + ship_code2 +ship_code3 +ship_code4+ ship_code5+ ship_code6 + ship_ code7, lag = list(0, 0, 0, 0,0,0,0,0,0,0,0,0), log =FALSE), data=data, effect = "individual", model = "twosteps&...

Hello there!!! Sorry to bother you all with such question and difficulties that I have been facing on. Recently I have been searching for packages to run GMM estimatives with R. I have been searching for such packages for a while, but since I am a new user of R system, my quest so far was unsucessful. That´s why I had decided to ask to this forum. Hope that anyone could help me! I know that such emails might bother you guys at all... but I dont know...

A copy of this question can be found on Cross Validated: https://stats.stackexchange.com/questions/645362 I am estimating a system of seemingly unrelated regressions (SUR) in R. Each of the equations has one unique regressor and one common regressor. I am using `gmm::sysGmm` and am experimenting with different weighting matrices. 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 regardles...

Hello, although I searched for a solution related to my problem I didn?t find one, yet. My skills in R aren?t very large, however. For my Diploma thesis I need to run a GMM estimation on a dynamic panel model using the "pgmm" - function in the plm-Package. The model I want to estimate is: "Y(t) = Y(t-1) + X1(t) + X2(t) + X3(t)" . There are no "normal" instruments in this model. There just should be the "gmm-instruments" I need...

Dear R Experts--- Sorry for all the questions yesterday and today. I am trying to use Yves Croissant's pgmm function in the plm package with Blundell-Bond moments. I have read the Blundell-Bond paper, and want to run the simplest model first, d[i,t] = a*d[i,t-1] + fixed[i] + u[i,t] . no third conditioning variables yet. the full set of moment conditions recommended for system-GMM, which is (T-1)*...

A copy of this question can be found on Cross Validated: https://stats.stackexchange.com/questions/645610 I am estimating a system of seemingly unrelated regressions (SUR) with `gmm::sysGmm` in R. Each of the equations has one unique regressor and one common regressor. The common regressor is a dummy variable indicating the last observation (n-1 zeros followed by 1). I impose a restriction that the coefficients on the common regressor are equal across equations. See a reproduc...

...: > > A copy of this question can be found on Cross Validated: > https://stats.stackexchange.com/questions/645362 > > I am estimating a system of seemingly unrelated regressions (SUR) in R. > Each of the equations has one unique regressor and one common regressor. I > am using `gmm::sysGmm` and am experimenting with different weighting > matrices. 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 phenomeno...

Inthe code below I was trying to to obtain the GMM estimates for CAPM (REGRESSION) for 36 stocks each have 180 observations,however it only gives me one output rather than 36. In SAS i would just put in a *By statement*. I have a variable TICKER that categorize them into 36 groups. *How can I obtain all 36 output instead of just one.* ** DataMa...

hello I have covariance stacionary proces, and i want to estimate some parameter of this proces via gmm. My problem is with write "g" -function. 0 order autocovariance is not problem 1 and higher order autocavariance are problem, because add order from 0 mean that I "loose" one "observacion" if I have 100 observation and i am going to use mean, variance and first auto...

Hi All, I'm trying to estimate some parameters in my model via GMM using the function gmm(), but I keep getting the message "The covariance matrix of the coefficients is singular". I've changed the moment conditions and the initial value of the parameters, and I still get this message. Are the results valid after receiving this message? Any ideas...

Hi list, has anyone succeeded in using pgmm() on any dataset besides Arellano/Bond's EmplUK, as shown in the vignette? Whatever I try, I eventually get a runtime error because of a singular matrix at various points in pgmm.diff() (which gets called by pgmm()). For example, when estimating a "dynamic" version of the Grunfeld da...

Hi! I am looking for some insight with this situation: what to do or how to analyze when our models fitted with pgmm never pass Sargant test? With my current dataset, I've been fitting different models and with all possible combinations of lagged instruments, with all possible lag order combinations, but no model passes Sargan test. I can not give up gmm here as I have autocorrelation and only dynamic specif...

...:-(. I am going to post this message now (rather than just email it privately), because other amateurs may have similar questions in the future, and find this message and your answers via google. Real Statisticians---please don't waste your time. so here is my amateur interpretation of GMM in general and Arellano-Bond and Blundell-Bond specifically. I will do an example with T=4. The model is x(i,t) = a*x(i,t-1) + u(i,t) ie x(i,2) = a*x(i,1) + u(i,2) x(i,3) = a*x(i,2) + u(i,3) x(i,4) = a*x(i,4) + u(i,4) I view u(i,t) as a function of a: u(i,t)[a] = x(i,t)-a*x(i,t-1) . the Arellan...

Dear all: I'm trying to fit the optimal Box-Cox transformation related to nls (see the code below) for the demand of money data in Green (3th Edition) but in the last step R gives the next error message. Error en `[.data.frame`(eval(object$data), , as.character(formula(object)[[2]])[2]) : undefined columns selected. ?Any idea to solve the problem? Thanks in advance,

I have a problem in estimating GMM estimators with constraints. How can I do this? [[alternate HTML version deleted]]

Dear everyone: I have to finish my thesis to graduate as Bs. in Economics. I choose to estimate a New Keynesian Phillips Curve (NKPC) for Uruguay using Generalized Moment Method (GMM). I do not know programming or R but I would like to use it. Should I use gee, geepack or gam? Thanks in advance, Sebasti?n. *************************************** ?Hola todos! Para terminiar mi licenciatura en Econom?a debo hacer un trabajo de investigaci?n monogr?fico. Elegi como tema l...