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Results tagged with generalized-moments
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user 17359
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.
10
votes
0
answers
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Dynamic Panel/GMM in R with group:time fixed effects? [closed]
Is there a solution coded in R to estimate models of the form
$$
y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt}
$$
?
plm offers the pgmm package, …
- 13.7k
4
votes
1
answer
2k
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Practical issues with dynamic panel data modeling
Unfortunately for me, I've got a situation where I need to control for the lag of a dependent variable as a robustness check against an alternative interpretation of my main regression. The baseline …
- 13.7k