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Questions tagged [generalized-method-of-moments]

13 questions
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Matrix multiplication error using gmm package

I am trying to follow the example given in Section 3.2 of this paper on the use of the gmm R package. So I wish to estimate the parameters of a stable distribution. I am using the following…
Victor Maxwell
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How to view each one method to print the output values?

#from scipy.spatial.distance import euclidean import numpy as np import scipy import scipy.signal def matrix_from_csv_file(file_path): """ Returns the data matrix given the path of a CSV file. Parameters: file_path (str):…
Dhivya Bharkavi
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How to add dummy interactions using pgmm

I am trying to add a dummy variable in order to determine the coefficients for a specific factor (MUNICIPIO) usin pgmm() in R. This is the code: GN_Municipal_Empresa <- pgmm(log(CANTIDAD_M3+1) ~…
Miguel Gutierrez
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Arellano and Bond (1991) GMM estimation in R by using plm package

I am a last-year student at university, currently working on my Bachelor's (so still learning R), and I really hope that you would suggest a potential solution (even if to use Python). So, the main model for my bachelor is as follows: Main model for…
Wadim iLchuk
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error on Variance inflation factor in gmm_rolling estimate

Following the code below, I am able to estimate a rolling gmm function. gmm_list_IM <- lapply(1:(length(ALLX$IM)-24), function(i) { tmp <- ALLX[i:(i+23),] IM <- as.matrix(as.numeric(tmp$IM)) p <- nrow(IM) rmrf_local <-…
Enrico Dace
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Does calling a method of the different class using switch violate Single Responsibility Principle?

I have two classes (A and B) and a Model (T) with some properties. In A class, There is a method with the passing model(T). We have to check a condition to check the name using a switch case, where the name matches the case then we have to call a…
David_DD
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Translating xtabond call from Stata to R

I am trying to replicate findings from a particular study. The study uses the xtabond command in Stata to run an Arellano-Bond estimator with lags of the dependent variables. The goal of the study is to estimate the effects of being in year X of a 4…
eric andre the gian
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Panel VAR estimation using GMM on panelvar

I've been trying to estimate a pVAR using GMM on R using the package panelvar. I'm estimating a dynamic panel VAR with two-step GMM using first-differences. I have a balanced panel with 378 with a group variable (id) and a time variable (year). I…
Dorito0102
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System GMM with R: issues with the multi-part formula for IVs and the sargan test results

I'm working on a panel dataset with N = 30 countries and T = 15 years. I'm using R and the plm package for my analysis. Based on research by Blundell-Bond (1998) and Arellano-Bover (1995), I decided to use the System-GMM onestep model, with only…
UzbeKistaN
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Stopped by zero step from line search - R stops optimization early

I am trying to minimize an objective function, J(θ), with respect to θ, a 19-dimensional parameter vector. J(θ) is a smooth nonlinear function so I have tried various gradient-based optimizers in R to find the solution. A consistent problem is that…
EB727
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R Generalized Method Of Moments Regression Estimation With Instruments

I'm trying to train a regression model using the generalized method of moments in R. I have 3 endogenous regressors that are correlated with 6 things I know to be exogenous. My outcome variable is y I have 3 endogenous regressors: z1, z2, z1*z2 I…
DVL
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sahi: How to use the escape char in javascript

In my app i will add row and update the fields next to it. eg. as below 1 User1namefield 2 User2namefield for this first i need to identify label 1 and 2 and then i need to go and updated username field. Below code will work -…
Anand Kakhandaki
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How to run the pgmm command?

Please see a sample of my data, and my pgmm code, and let me know if I am using the correct syntax. Y1 is my dependent variable, and X* with C* variables are my independent and control variables. I am trying to run the dynamic GMM model with 2 year…
Uğurcan Evci
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