similar to: GMM for dynamic mdels: what if never passes Sargan test?

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

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

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,

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,

dear giovanni--- thanks for answering on r-help to me as well as privately. I very much appreciate your responding. I read the plm vignette. I don't have the book, so I can't consult it. :-(. 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.

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

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 anything thats wrong with. My

Dear 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:

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 data: data(Grunfeld, package="Ecdat") grun

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,

Dear Hao-pang, it is impossible to really tell the problem without a reproducible example. Just guessing: this looks like you have too many regressors. In GMM, lags of variables are used as instruments, so you might have more regressors than observations. Try reducing the 'lag' argument (which, by default, uses all lags available). Of course, the first observation to make would be that

I’m starting to use the GMM estimator with panel data in R. I´ve read the document «Panel Data Econometrics in R: The plm Package» (Croissant and Millo). In Stata before using the functions lag() or diff() we must sort the data by individual and by time. I would like to know if I have to do something like this in R. If you know any other interesting document about panel data in R please let me

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

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 description and online. Thank you very much for your help!

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 a way to pass controls to a solver used while calling

Hi Ivan, Thank you for your message. Does that mean that I should send a new message? Or is it okay for this time? Best, Aristide On Fri, Nov 1, 2024, 22:29 Ivan Krylov <ikrylov at disroot.org> wrote: > Hi Aristide and welcome to R-help! > > Your message was a bit mangled [*]. It's best to compose messages to > this mailing list in plain text. Otherwise (when composed in

Hi everyone, I am using the gmm function from the gmm package and encountered an unexpected error. No model can be estimated if I load formula.tools?I need to restart R each time. Here is a simple reproducible example: *library(gmm)data(Finance)r <- Finance[1:300, 1:10]rm <- Finance[1:300, "rm"]rf <- Finance[1:300, "rf"]z <- as.matrix(r-rf)zm

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] - (tet[1] + tet[2] * x[,2] + tet[3] * x[,3])) * x[,2] m2 <-

Hi Aristide and welcome to R-help! Your message was a bit mangled [*]. It's best to compose messages to this mailing list in plain text. Otherwise (when composed in HTML), the mailing list eats the HTML part and we're left with the plain text part automatically generated by your mailer, which isn't always readable. ? Wed, 30 Oct 2024 17:45:29 +0100 Elys?e Aristide <ariel92and at

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