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2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...ula(assign(paste0("eq",i), value=paste0( "~
x",i," + dummy"))) # define the moment conditions for GMM
}
# Estimate a WLS-type weighting matrix to use as a user-specified weighting
matrix in GMM
m0 <- systemfit(formula=ES_g, method="OLS", data=data1)
OLSmat <- diag(diag(m0$residCov)); Wmat <- solve(OLSmat)
# Choose the type of covariance matrix in GMM
vc1 <- "MDS"
vc1 <- "CondHom"
vc1 <- "HAC"
#vc1 <- "TrueFixed"
# Choose between restricted and unrestricted estimation
cec1=NULL # unrestricted...
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...), value=paste0( "~
> x",i," + dummy"))) # define the moment conditions for GMM
> }
>
> # Estimate a WLS-type weighting matrix to use as a user-specified weighting
> matrix in GMM
> m0 <- systemfit(formula=ES_g, method="OLS", data=data1)
> OLSmat <- diag(diag(m0$residCov)); Wmat <- solve(OLSmat)
>
> # Choose the type of covariance matrix in GMM
> vc1 <- "MDS"
> vc1 <- "CondHom"
> vc1 <- "HAC"
> #vc1 <- "TrueFixed"
>
> # Choose between restricted and unrestrict...