# Questions tagged [generalized-moments]

generalized-moments stands for the econometric technique of "generalized method of moments", a method of quadratically combining multiple "generalized moments", or "estimating equations", to obtain parameter estimates, their standard errors, and test statistics in single and multiple-equation, cross-sectional, time-series, and panel data models.

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### Number of instruments in GMM (using pgmm in R)

Number of instruments used in GMM model (pgmm function in R) I performed a GMM (Generalized Methods of Moments) analysis in R using the ...
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### Sargan test results = 1 in system GMM

I am having difficulties understanding my diagnostic test results for my twoways effects two-step model system GMM, which I performed in R. The results of my Sargan test (test for overidentification ...
1 vote
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### Does PLM package (PGMM function) use Windmeijer-corrected cluster-robust errors? [closed]

I am performing a GMM analysis using the pgmm function in the plm package in R. I read a lot about different errors (nonrobust, ...
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### Problems with GMM (Generalized Methods of Moments) in R

I am interested in performing an analysis using a GMM model for a panel dataset. I am conducting the analysis in R, using the pgmm package. My code is the following:...
1 vote
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### How do deal with multicollinearity, endogeneity and interpret the interaction terms in a panel dataset?

The model ŷ = b0 + b1X1 + b2X2 + b3X1X2 ŷ =company financial performance metric X1 = carbon emissions X2 = carbon assurance X1X2 = interaction term The issues: Let’s say: • X1 + X2 are related (but ...
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### Dynamic panel data model with treatment

Consider a simple dynamic panel model with a single lag: $$y_{it} = \alpha_i + x_{it}'\beta + \rho y_{i,t-1}+\epsilon_{it}$$ Now assuming that $x_{it}$ is most ordinary covariates, this can be ...
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### GMM and Instruments

I am using GMM for my research work. Previously, I have used ivreg command in stata in which we manually specify the instrumental variable for the endogeneous variable. I was just curious and ...
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### System GMM yields invalid results while Difference GMM is correct

While studying about GMMs I generated the following dataset to experiment with. ...
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### Which model should I use for determinants of NPLs

I am working on a subject called The determinants of NPLs in a country (NPL = non performing loans). My data is a dynamic panel data of 15 years and i got my data yearly. The dependent variable is npl ...
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### How to understand the binary latent variable z in GMM model?

GMM(Gaussian Mixture Model) itself is a mixture of Gaussian with each having the proportion of $\pi_k$, $$\sum_{k=1}^{K}\pi_k=1$$this is easy to understand. But when introducing the latent, I don't ...
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### Estimation of panel data

I am estimating the effect of certain bank characteristics on the bank lending in monetary policy in the euro area. Therefore I am looking at different bank characteristics (size, liquidity and ...
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### Is using a fixed random seed in production okay?

I have a dataset and am trying to use GMM to cluster it. The algorithm works well but when I run it multiple times I get different results. While the clusters produced in each run are valid my users ...
1 vote
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### ARSV model estimation with (constrained) generalized method of moments in R

I am trying to perform the estimation of the following Autoregressive Stochastic Volatility model $$y_t=\sigma_t u_t = exp(w_t/2)u_t \\ w_t = \omega + \phi w_{t-1} + \eta_t$$ in R via the function <...
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### When is the Optimal weighting matrix in GMM singular?

currently I am trying to estimate a simple linear regression: \begin{equation} y_t = X \beta + \varepsilon_t, \end{equation} where I try to find 4 coefficients and one specific predictor is an ...
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### Question on GMM

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, $y_t$ is an iid ...
1 vote
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### What is the difference between GMM-style instruments and IV-style instruments in GMM estimation via xtabond2 or plm?

My question refers to the implementation of GMM estimators, e.g., in the package xtabond2 for Stata or package plm in ...
1 vote
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### Can the Arellano Bond model accommodate lags of explanatory variables?

The standard type of equation I've seen for the Arellano-Bond is y_it = r* y_it-1 + B*x_it + e_it. The endogenous variable y is a function of y at previous times, x at the current time, and an ...
1 vote
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### GMM regression and instruments count with xtabond2

I have to perform a difference GMM regression on my panel data. It's not important that it works, but if it does not I need robust motivation for why not. My panel data is divided in two bigger groups,...
1 vote
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### How to Remove Fixed Effects to Reduce Heterogeneity?

When discussing GMM estimation, Toni Whited and Luke Taylor suggest to reduce heterogeneity by ''eliminating fixed effects,'' see here on Taylor's slides (slide 36): My question: I'm not quite sure ...
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### an alternative to GMM?

Dear StackExchange Users, I am currently working on my PhD thesis and one of the chapter deals endogeneity in the data. I have N the number of individual (here country) = 11 and T the time dimension = ...
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### gmm function in R does not work due to singular variance-covariance matrix

We want to test the CAPM asset pricing models using the GMM procedure. The model is as follows: $$R_{i,t} - R_{f,t} = \alpha_i + \beta_i(R_{m,t} - R_{f,t}) + \epsilon_{it}$$ The pricing errors at ...
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### Choice between static and dynamic panel regression

I have a panel dataset with countries as individuals observed per year. My analysis concerns a macroeconomic study and as often happens in these cases (I would not be wrong but they are commonly ...
1 vote
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### Stopped by zero step from line search - R stops optimization early

I am trying to minimize an objective function, $J(\theta)$, with respect to $\theta$, a 19-dimensional parameter vector. $J(\theta)$ is a smooth nonlinear function so I have tried various gradient-...
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### What does stata's laglimit mean?

I just saw an explanation to xtabond2 here ...
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### Surprising nonlinear variance-based scale est (bias adj) for Laplace Distribution competes with MLE?

Background: Using the quantile function (inverse cumulative distribution) for the Laplace distribution supplied with uniform random deviates (per the RAND() spreadsheet function), I examined an ...
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### An intro document to IV-GMM method

I am looking for an introduction on Instrumental variable-generalized method of moments (IV-GMM), but cannot find more than the following: https://fmwww.bc.edu/EC-C/S2014/823/EC823.S2014.nn02.slides....
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### GMM model with R

I am trying to run a GMM model, based on the Fama-Macbeth technique for robust s.e. (use this method for correction in auto-correlation and conditional heteroskedasticity). I am using R, after I have ...