Displaying 20 results from an estimated 500 matches similar to: "GMM with covariance moment condicion"
2013 Feb 20
2
'gmm' package: How to pass controls to a numerical solver used in the gmm() function?
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
2012 Jul 31
0
Problems in using GMM for calculating linear regression
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 <-
2024 Apr 23
0
System GMM fails due to computationally singular system. Why?
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
2013 Jan 13
1
R error: system is computationally singular when building GMM model
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,
2010 Jun 08
0
GMM: "The covariance matrix of the coefficients is singular"
Hi All,
I'm trying to estimate some parameters in my model via GMM using the
function gmm(), but I keep getting the message "The covariance matrix of
the coefficients is singular". I've changed the moment conditions and
the initial value of the parameters, and I still get this message. Are
the results valid after receiving this message? Any ideas on how to get
rid of it?
2011 Oct 25
1
regression using GMM for mulltiple groups
Inthe code below I was trying to to obtain the GMM estimates for CAPM
(REGRESSION) for 36 stocks each have 180 observations,however it only gives
me one output rather than 36.
In SAS i would just put in a *By statement*. I have a variable TICKER that
categorize them into 36 groups.
*How can I obtain all 36 output instead of just one.*
**
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
A copy of this question can be found on Cross Validated:
https://stats.stackexchange.com/questions/645362
I am estimating a system of seemingly unrelated regressions (SUR) in R.
Each of the equations has one unique regressor and one common regressor. I
am using `gmm::sysGmm` and am experimenting with different weighting
matrices. I get the same results (point estimates, standard errors and
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
Generally speaking, this sort of detailed statistical question about a
speccial package in R does not get a reply on this general R
programming help list. Instead, I suggest you either email the
maintainer (found by ?maintainer) or ask a question on a relevant R
task view, such as
https://cran.r-project.org/web/views/Econometrics.html . (or any other
that you judge to be more appropriate).
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
2011 Jun 12
3
Running a GMM Estimation on dynamic Panel Model using plm-Package
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
2008 May 27
2
GMM estimation
Hello there!!!
Sorry to bother you all with such question and difficulties that I have been
facing on.
Recently I have been searching for packages to run GMM estimatives with R.
I have been searching for such packages for a while, but since I am a new
user of R system,
my quest so far was unsucessful.
That´s why I had decided to ask to this forum. Hope that anyone could help
me!
I know that
2011 Jul 29
0
GMM, panel data, functions lag() and diff()
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
2003 Apr 30
0
Help on Regress GMM
I have a problem in estimating GMM estimators with constraints. How can I do this?
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2007 Jun 11
0
GMM estimation
Dear everyone:
I have to finish my thesis to graduate as Bs. in Economics.
I choose to estimate a New Keynesian Phillips Curve (NKPC) for Uruguay
using Generalized Moment Method (GMM).
I do not know programming or R but I would like to use it.
Should I use gee, geepack or gam?
Thanks in advance,
Sebasti?n.
***************************************
?Hola todos!
Para terminiar mi
2009 Jul 17
0
Inequality constraints in GMM estimation?
I have a relatively simple finance application of GMM. Given the moment
condition:
E[m*R]=0
where m=m[theta]
I would like to constrain m>0. Any ideas?
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2009 Feb 24
4
bigest part of vector
Hi, may be simle question, but a do not find it anywhere.
Is there same function like max() ,but giving more results.
max() give 1number-maximum
I need funcion what give p bigest number.
many thanks
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2006 May 17
1
what does it mean when "lm.gls" says that the weight matrix has wrong dimension?
If first fit my data column V1 to column V2 using normal "lm" fitting,
call it "fit1",
then I used "acf(fit1$residuals, type='cov', 40) " function to obtain the
autocovariance of the residuals,
and then constructed a autocovariance matrix, I chose it to be 40x40.
Call this autocovariance matrix B,
I then use the following "lm.gls" function to
2008 Dec 19
2
How do I generate one vector for every row of a data frame?
I am trying to generate a set of data points from a Gaussian mixture
model. My mixture model is represented by a data frame that looks
like this:
> gmm
weight mean sd
1 0.3 0 1.0
2 0.2 -2 0.5
3 0.4 4 0.7
4 0.1 5 0.3
I have written the following function that generates the appropriate data:
gmm_data <- function(n, gmm) {
c(rnorm(n*gmm[1,]$weight, gmm[1,]$mean,
2009 Mar 30
0
pgmm (Blundell-Bond) sample needed)
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
2012 Jan 24
2
how do I do the autocovariance of a moving average?
Hi guys,
I'm trying to do the autocovariance of a moving average but it's giving me
errors. Here is my code:
> w=rnorm(500,0,1)
> v=filter(w, sides=2, rep(1/3,3))
> acf(w, lag.max=20) <=that printed out a nice graph.
> acf(v, lag.max=20)
Error in na.fail.default(as.ts(x)) : missing values in object
thanks a lot.
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