[R] pgmm (blundell-bond) help needed

ivo welch ivowel at gmail.com
Fri Mar 27 02:45:49 CET 2009

I have been playing with more examples, and I now know that with
larger NF's my example code actually produces a result, instead of a
singular matrix error.  interestingly, stata's xtabond2 command seems
ok with these sorts of data sets.  either R has more stringent
requirements, or stata is too casual.  in any case, I find it strange
that Blundell-Bond would not work on data sets in which N=20 and T=10,
and there is only one parameter to estimate.  there should be more
than enough degrees of freedom.

I will experiment more with it.



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