Displaying 20 results from an estimated 3000 matches similar to: "GMM estimation"
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
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
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,
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).
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.*
**
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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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,
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
2010 Jul 02
0
GMM with covariance moment condicion
hello
I have covariance stacionary proces, and i want to estimate some parameter
of this proces via gmm.
My problem is with write "g" -function.
0 order autocovariance is not problem
1 and higher order autocavariance are problem, because add order from 0 mean
that I "loose" one "observacion"
if I have 100 observation and i am going to use mean, variance and first
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?
2009 Mar 26
1
pgmm (Blundell-Bond) sample needed
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,
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
2012 Apr 30
1
IV estimation
Hello,
I have a set of 100 variables with 1560 observations. I did an O.L.S
regression of three of these variables on a fourth. But there are problems
of endogeneity... So I look in my dataset for instruments to do an IV. I
can't find a good instrument because their correlation with my endogeneous
variables are too low. But I see that when I create a combined variable
composed of 12 variables
2009 Mar 08
1
singular matrices in plm::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 data:
data(Grunfeld, package="Ecdat")
grun
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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2005 Aug 25
2
concerning econometrics usage of "R"
Hi,
I am currently looking for a program or programmng language easy to
learn, easier to operate on.I heva heard about "R", However I
understand that "R" is designed especially for statisticians. As an
economist, working on applied econometrics, I am not sure if it can
meet my needs.
Will I be able to reach precise time series or panal data regression
results with