# 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.

154 questions
Filter by
Sorted by
Tagged with
11 views

### Can you use GMM to overcome time-variant omitted variable bias resulting from FE?

I am looking at a FE model on the effects of R&D expenditure on labour productivity but not sure how to address the possible endogeneity resulting from time varying omitted variable bias. I cannot ...
39 views

### GMM panel data model in R - no individual effects

I need to estimate the coefficients of a particular dynamic panel data model. $$\ln(y_{i,t})=\alpha_0+\beta ln(y_{i,t-1})+\theta_t+ \varepsilon_{i,t}$$ Currently, I'm ...
1 vote
125 views

33 views

• 890
73 views

### When is the Optimal weighting matrix in GMM singular?

currently I am trying to estimate a simple linear regression: $$y_t = X \beta + \varepsilon_t,$$ where I try to find 4 coefficients and one specific predictor is an ...
89 views

### 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 ...
• 890
24 views

### When should I prefer a parametric estimator to generalized method of moments?

The title is hopelessly broad, so let me focus on a concrete example. Consider the paper Identification of and Correction for Publication Bias by Andrews and Kasy. My question concerns the subsection ...
1 vote
309 views

### 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
18 views

### 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
350 views

### 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,...
• 11
1 vote
155 views

### 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 ...
• 323
67 views

### 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 = ...
165 views

### 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 ...
• 21
1 vote
2k views

### 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
55 views

### 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-...
• 11
344 views

### What does stata's laglimit mean?

I just saw an explanation to xtabond2 here ...
I have a problem that deals with human capital. I assume that wages $W_{it}$ are determined by the level of human capital $K_{it}$ and the market clearing rental rate that applies to all workers $R_{t}... 1 vote 1 answer 536 views ### What are the "moment conditions" in the GMM method? Also: GMM vs IV vs 2SLS? I keep seeing talk of 'moment conditions' or 'moment equations', but don't exactly understand the context. Consider a very standard regression model: $$y_i = \beta x_i + u_i$$ where$u_i$is an ... • 23 1 vote 0 answers 55 views ### 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 ... • 1,810 3 votes 0 answers 29 views ### 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.... • 131 2 votes 0 answers 338 views ### 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 ... • 135 2 votes 0 answers 239 views ### Python : GMM estimators in dynamic panel I am trying to fit a GMM model in Python so I was wondering if someone knows if there is an equivalent of xtabond2 / stata or pgmm / R in Python. I've searched but I couldn't find anything similar. • 21 1 vote 0 answers 64 views ### please guide me xtabond2 This is my first experience for GMM. help me, please. I should examine the relationship between X and Y across US states over the period 1993–2015 using the System GMM estimator. The lagged DVs, ... 0 votes 0 answers 71 views ### Why can a biased estimate still be statistically significant? For example, I conduct an OLS regression and a regressor turns out to be statistically significant. When I conduct the same regression but with a GMM to account for serial correlation - I get a ... • 26 3 votes 1 answer 118 views ### How to Test Linear Hypotheses about Parameters in Simulation-Based Indirect Inference Setup: I have a model that produces a vector of aggregate outcomes,$\theta$, based on parameters,$\beta$. The relationship$\theta=\Theta(\beta)is stochastic and analytically intractable, but I ... • 317 4 votes 0 answers 140 views ### Dynamic panel data model with AR(2) process in the errors I set up the following dynamic panel data model: $$y_{it}=\alpha y_{it-1}+x_{it}^T\beta+v_{it}$$ Additionally, I have the process in the errors: $$v_{it}=\rho_1u_{it-1}+\rho_2u_{it-2}+\epsilon_{it}$$ ... • 141 2 votes 0 answers 326 views ### Singular covariance matrix in GMM? I understand that typically the covariance matrix should not be singular (see e.g. this discussion here: Could the covariance matrix of the moment conditions in GMM be ill-conditioned?) But in the ... • 885 1 vote 0 answers 117 views ### System of equations GMM - time series (HAC) in RStudio [closed] So I have a system of equations made up with some time series, to be estimated with a Generalised Moments Method model. Sth like: PREM[t] = phi_0+phi_1*PREM[t-1]+phi_2*IR[t-1]+phi_3*INAD[t-1]+phi_4*U[... • 11 1 vote 0 answers 174 views ### Comparison of GMM and ML estimators for regression with correlated errors Consider a linear model with normally distributed, autocorrelated errors \begin{aligned} y&=X\beta+\varepsilon \\ \varepsilon&\sim N(0,\sigma^2_{\varepsilon}) \text{ and autocorrelated.} \end{... • 55.5k 1 vote 0 answers 109 views ### Simultaneous GMM estimation: standard errors of common coefficients So I am estimating a production function based on Wooldridge (2009) GMM adaptation of preexisting semi-parametric, 2-stage techniques. One of the upsides of GMM is simultaneous instead of sequential ... • 33 3 votes 1 answer 1k views ### Use of Weighting Matrix (GMM) While conducting estimation via the Generalised Method of Moments, or GMM, I understand that we need to minimise the following expression:Q_n(\theta)=g_n(\theta)'W_ng_n(\theta)$Where$g_n(\theta)$... • 243 2 votes 1 answer 56 views ### Naming of mathematical elements in GMM? I'm struggling with the naming of different elements in GMM. There doesn't seem to be consistency in the literature. What do we even call the moment integrand$g$? I take a stab below with help from ... • 2,057 1 vote 0 answers 28 views ### OLS - Predeterminedness and moment condition I'm having trouble validating if following procedure to test for predeterminedness is plausible. Given the linear model:$y_t=\beta_1+\beta_2x_{1t}+\beta_3x_{2t}+\epsilon_t$Having$x_{2t} = y_{t+1|...
What is the point of using the identity matrix as weighting matrix in GMM? GMM is the minimizer of the distance $g_n(\delta)'\hat{W}g_n({\delta})$, where $g_n = \frac{1}{n}\sum_ix_i\epsilon_i$. If we ...