Questions tagged [gmm]
5 questions
3
votes
0 answers
Structural Estimation, Simulations, and Initial Values
I want to estimate model parameters and fear about the impact of initial values of simulations.
Short model overview
Consider a firm producing a homogeneous output good whose output price, $P_t$, is $$dP_t=mP_tdt+s P_t dW_t.$$
Denoting the…
Alex
- 313
- 2
- 9
3
votes
0 answers
GMM Estimation with HAC Weight Matrix in R
I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM model with a HAC weight matrix in R and use the…
jotheta
- 31
- 1
1
vote
2 answers
Dynamic panel textbook
which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced.
Thanks :)
Maria
- 21
- 2
1
vote
1 answer
Finding consistent but inefficient GMM estimate
Consider the following linear model
$$y_t = x_t' \beta +u_t$$
where $t =1,...,T$ and $x_t = (x_{1t} x_{2t} ... x_{kt})'$ , $ \beta$ is $k \times 1$ vector of unknown coefficients, $u_t$ is an iid disturbance term with the variance $\sigma^2$ and…
1190
- 605
- 5
- 13
0
votes
0 answers
Estimate a Monetary Policy Reaction Function with Generalized Method of Moments
I want to estimate a Monetaryu Policy Reaction function with GMM.
I have well understood how to estimate a distribution (e.g. the normal distribution, the log-normal distribution, and so on) with GMM. One just sets the condition that the parameter μ…
Khairon
- 43
- 4