search for: pgmm

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...

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)*...

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...

Hello, I've been trying to fit Arrellano-Bond model with pgmm but I am getting very strange errors. I've looked around and found no reference to them. I've specified the model in dozens of different ways, and each seems to give me a new kind of error. This leads me to believe this has to do with the way the data is specified, but I can't see an...

Dear Sir or Madam: I am Shaojuan Liao, the 3rd year Ph.D. student from Econ Department, Virginia Tech. I don't know whether it is appropriate to ask you questions on the command pgmm. But I don't know how to deal with the case where all X are exogenous and all T time periods' X can be used as the instrument. Problem 1: I know when X are predetermined, such as Z=[y1,X1,X2, 0, 0, 0, 0, 0, ............ 0, 0, 0, y1, y2, X1, X2, X3, ............ ...........

Good day fellow R users: I have routinely received the following message when attempting to estimate a GMM model for a somewhat square panel (N = 20, T = 9-27, Obs = 338) using the pgmm function in the plm package: Error in function (..., deparse.level = 1) : number of rows of matrices must match (see arg 2) So far, I am not wedded to a particular GMM model but what I have used thus far is similar to the Anderson - Hsaio estimator such that Y(t) = Y(t-2) + X(t-1) + u(i) + e(...

Dear R-Users, I am using pgmm in the plm package to estimate a dynamic models with panel data. Besides the lagged dependent variable, I also have some other endogenous variables. Does the pgmm have an argument that allows me to specify these endogenous variables and their instruments? I didn't find this argument in the desc...

Dear Sir, I am using the package pgmm you build in panel regression. However, I found that when T is 10, N=30, the error would show as following: system is computationally singular: reciprocal condition number But the similar code works well on Stata, so I wonder how I can optimize the algorithm, for example , the inverse matrix o...

...roblem in finding an a that minimizes the sum. (To me, it seems that the more moment conditions I have, the merrier.) I was a little more encouraged to make such daring statements, because stata seemed able of running this and producing output. On the other hand, the exact NF number at which pgmm() dies does suggest that you are right. function( NF=7, NT=4 ) { d= data.frame( firm= rep(1:NF, each=NT), year= rep( 1:NT, NF), x=rnorm(NF*NT) ) lagformula= dynformula( x ~ 1, list(1) ) v=pgmm( lagformula, data=d, gmm.inst=~x, model="onestep", effect=NULL, lag.gmm=c(1,99), transfor...

Hi, I want to estimate a dynamic paneldata model with the following code, but unfortenately I received the error message below. form<-PB~Activity+Solvency+Cap_Int dynpanel<-pgmm(dynformula(form,list(1,1,1,1)),data=panel[1:2185,1:37],effect="twoways",model="onestep",index=c("Aktie","Datum"),gmm.inst=~PB,lag.gmm=list(c(2,12)),transformation="ld") Fehler in FUN(X[[1L]], ...) : Indizierung au?erhalb der Grenzen dim(panel) [1]...

Hi, I'm a pgmm (plm) user and would like to know if a orthogonal transformation is available, as in Stata xtabond2. Can someone help me? Thanks! Kinds regards, Eva [[alternative HTML version deleted]]

Hi there! Today I tried to estimate models using both plm and pgmm functions, with an interaction between X1 and lag(X2, 1). And I notice two issues. Let "Y=b_1 * X_1 + b_2 * X_2 + b_3 * X_1 * x_2 + e" be our model. 1) When using plm, I got different results when I coded the interaction term with I(X1 * lag(X2, 1)) and when I just saved this multiplica...

Hi! I am quite a new user of R. I wanted to ask if there was some package for dynamic panel analysis (with Arneallo-Bond Method) like stata. PLM is for panel analysis but not for dynamic. Best regards, Tanveer

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 for the model. In order to estimate it, I tried the foll...

...ear Limin, might be just about anything. Could you please provide a reproducible example? Best, Giovanni ----------------- Original message ---------------------- Message: 51 Date: Mon, 17 May 2010 10:36:03 +0800 (CST) From: ??? <dlmsos at 163.com> To: r-help at r-project.org Subject: [R] pgmm function Message-ID: <b2cba0.35fc.128a41e3684.Coremail.dlmsos at 163.com> Content-Type: text/plain Dear everyone, I try to regress a dynamic panel model with pgmm function in the plm package, but it doesn't work. The error report is "Error in names(coefficients) <- c(namesX,...

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", tran...

...roblems about dynamic GMM Message-ID: <1280508297.13984.97258031 at nccu.edu.tw> Content-Type: text/plain; charset=big5 Dear all, I am a new user of R, and I would like to use R to estimate dynamaic GMM of Arellano and Bond (1991). The package I used is "plm" and its code "pgmm." However, the regression cannot run and it showed an error message: "Error in solve.default(Reduce("+", A2)) : system is computationally singular: reciprocal condition number = 2.27327e-27." Could I please ask, how could I deal with this problems, or are there any othe...

Hello Everyone (Quick) question: Does anyone know a package/command or simply a way of creating a table of different panel data estimations (estimated using /*plm()*/ ) just as *mtable()* does for models estimated with /*lm()*/? It seems *mtable* (and *apsrtable* equally) only support /*lm*/ and some other classes but unfortunately not /*plm*/. I am pretty sure others must have encountered this

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...

...WITH SEM LIBRARY AND WITH THE MODEL'S SPECIFICATION       (Analisi Dati)   43. NY City Conf for Enthusiastic Users of R, June 18-19, 2009       (HRISHIKESH D. VINOD)   44. Importing csv file with character values into sqlite3 and       subsequent problem in R / RSQLite (Stephan Lindner)   45.  pgmm (Blundell-Bond) sample needed) (Millo Giovanni)   46. 64 bit compiled version of R on windows (Vadlamani, Satish {FLNA})   47. Re: how to input multiple .txt files (hadley wickham)   48. Re: HELP WITH SEM LIBRARY AND WITH THE MODEL'S SPECIFICATION       (John Fox)   49. Re: 64 bit compiled vers...