Does anyone have stata commands for econometriv tests utilised in selecting better model between system GMM and Differenced GMM. In brief, How do i decide to use Syst gmm over diff gmm or vice-versa.
Thanks Haseeb Javed
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Hi all Can I run a Gmm model with a time series dependent variable? I have a sample of 12 countries and years from 2000 to 2018
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Dear all, Could you recommend macroeconomic studies (hopefully published in good journals) that use system GMM or Arellano-Bond estimators? Thanks a lot!
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I first conducted a fixed effect model using xtreg y x, fe and I found that all the variables are significant and R-squared is .51. So I thought that maybe I should use two step system GMM to...
07 October 2020 5,386 3 View
I run OLS regression on panel data in Eviews and then 2SLS and GMM regression. I introduced all the independent variables of OLS as instrumental variables. I am getting exacty same results under...
05 April 2020 4,683 1 View
The Gaussian Mixture Model with Universal Background Model (GMM-UBM) takes individual class training data to train the GMM and uses all training data or different dataset to build the UBM. In this...
03 March 2020 260 3 View
Collapsing instruments in a system GMM model is useful in treating the problem of instrument proliferation. However, the instructions given to xtabond2 of Stata suggest that "In large samples,...
11 January 2020 4,738 3 View
While analyzing a linear relation, GMM produces insignificant results for the main IV in a quadratic regression model. Though the signs of the coefficients' are valid, the results are...
10 November 2019 399 5 View
The conventional test for the system GMM is 1) testing for instrument validity and 2) test for second order serial autocorrelation. Are there pre-estimation tests that may be relevant i.e...
09 October 2019 9,938 6 View
I have a dataset and trying to apply soft clustering, preferably Multivariate Gaussian Mixture model, but I have following doubts : 1. Does Multivariate GMM assume the underlying data to follow...
30 July 2019 6,266 4 View