Displaying 2 results from an estimated 2 matches for "weightsmatrix".
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...timation
cec1=NULL # unrestricted
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=cec...
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
...cted
> 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,
> vc...