Skip to main content

# 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.

174 questions
Filter by
Sorted by
Tagged with
0 votes
0 answers
3 views

### Why does system GMM fail due to computationally singular system in my setup?

I am estimating a system of seemingly unrelated regressions (SUR) with gmm::sysGmm in R. Each of the equations has one unique regressor and one common regressor. ...
• 67.6k
0 votes
0 answers
26 views
+50

### System GMM yields identical results for any weighting matrix

I am estimating a system of seemingly unrelated regressions (SUR) in R. Each of the equations has one unique regressor and one common regressor. I am using ...
• 67.6k
1 vote
0 answers
17 views

### SUR estimated via systemfit vs sysGmm: different standard errors

I am estimating a system of seemingly unrelated regressions (SUR) in R. Each of the equations has one unique regressor and one common regressor. I have two alternative implementations: one via ...
• 67.6k
0 votes
0 answers
17 views

### Two-Step GMM and Instrumental Variable

I am trying to run a regression in r using country-level panel data with female labour force participation rate as the independent variable and lnGDP, lnGDP^2, Trade (as % of GDP), Fertility, School ...
0 votes
0 answers
9 views

### Within transformation vs. first differencing in the over-identified case

I have the following fixed effects model: $S_{it}=D_{it}'\gamma + \alpha_i + \epsilon_{it}$ My textbook says i can use first-differencing and derive a moment function that overidentifies $\gamma$ for ...
5 votes
1 answer
373 views

### How to derive the GMM estimator for the Covariate Balancing Propensity Score?

The covariate balancing propensity score (CBPS) described by Imai and Ratkovic (2014) involves fitting a logistic regression for the propensity score $\pi_\beta(\mathbf{X}) = P(T = 1\vert\mathbf{X})$ ...
• 33.5k
0 votes
1 answer
14 views

### Instrumental variable for panel data

I am trying to quantify the effect of financial sanctions on cross-border capital flows. I have built a dyadic dataset of sanctions and capital flows by country pair and year. My sample period spans ...
3 votes
2 answers
61 views

### Why can the method of moments be expressed as a minimization problem?

Generalized method of moments (GMM) estimation seems to be called generalized method of moments because the standard method of moments (MoM) is a special case, following the following logic. MoM is ...
• 62.5k
0 votes
0 answers
7 views

### momentfit::gmm4 model output interepretation

I specify my GMM routine ...
• 339
0 votes
0 answers
15 views

### How do I use GMM or LDV to handle a big problem with autocorrelation in a data frame spanning 1945-2018?

For an exam (results for this exam do not need to be entirely accurate and explain the all variations in our variable) I am doing an analysis of (all countries in the world) of whether parliaments ...
3 votes
1 answer
67 views

### Estimator for Dynamic Panels with Individual Specific Slopes

I'm working on some economic stuff and the objective is to conduct a panel data analysis. I assumed the following data-generating process: y_{it} - y_{i,t-1} = \eta z_{i,t-1} + \...
• 277
4 votes
1 answer
11 views

### Incorporating idiosyncratic risk as a pricing factor with GMM

Originally I posted this on Quantitative Finance SE here but got no response. Months later, I am posting it here hoping for better luck. Suppose we are given a dataset with $T$ time periods and $N$ ...
• 67.6k
2 votes
1 answer
39 views

### Clustered standard errors using pgmm()

I am estimating a system-GMM model using the pgmm function from the plm package in R: ...
1 vote
0 answers
141 views

### 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 ...
• 23
0 votes
0 answers
51 views

### 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 ...
• 23
1 vote
1 answer
79 views

### 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, ...
• 23
0 votes
0 answers
34 views

### 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:...
• 23
1 vote
0 answers
29 views

### 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 ...
• 11
2 votes
0 answers
25 views

### 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 ...
• 150
0 votes
1 answer
49 views

### 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 ...
0 votes
0 answers
56 views

### System GMM yields invalid results while Difference GMM is correct

While studying about GMMs I generated the following dataset to experiment with. ...
0 votes
0 answers
12 views

### 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 ...
0 votes
2 answers
101 views

### 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 ...
0 votes
0 answers
22 views

### 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 ...
0 votes
0 answers
28 views

• 633
3 votes
1 answer
986 views

### How do Measure "Robustness" in Statistics?

I am an MBA Student taking courses in Statistics. Our prof was comparing two different methods of estimating the parameters for a regression model: General Method of Moments (GMM) and Maximum ...
1 vote
0 answers
120 views

### Is there a formula for estimating confidence intervals for indirect inference estimates?

Indirect inference is usually deployed to estimate parameters $\theta$ of simulation models, i.e. models for which likelihood is unknown or intractable but that can be "run forward" ...
• 1,098
0 votes
0 answers
255 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
1 answer
135 views

1 vote
0 answers
196 views

### Covariance Matrix Estimation for the Generalized Method of Moments

I am solving and empirical exercise on the Generalized Method of Moments. It's a classical application/test of a famous model in Economics. There are 2 parameters $(\beta, \gamma)$ to be estimated ...
2 votes
1 answer
512 views

### Efficiency of IV vs GMM

I am trying to understand how IV/just identified GMM and overidentified GMM compare when it comes to efficiency. The way I understand it, we are able to identify the vector of coefficients in IV and ...
• 41
2 votes
1 answer
211 views

### Consistent but inefficient 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, $u_t$ is an iid ...
• 1,070
1 vote
0 answers
65 views

• 1,070
1 vote
0 answers
957 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
0 answers
72 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
0 answers
1k 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,...
• 111
1 vote
1 answer
502 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 ...
• 347
0 votes
0 answers
235 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 = ...
2 votes
0 answers
316 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