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sargeant
2013 Feb 28
0
GMM for dynamic mdels: what if never passes Sargan test?
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 specification gets rid of...