[R] GMM estimation

[Arne Henningsen]

Hi Zi!

On 11/28/09, Yi Du <abraham.du at gmail.com> wrote:
> I'd like to resort generalized methods of moment to estimate a regression
> model but I can't understand the help file of gmm package. If the regression
> model is y, the instrumental variable is x, how can I write the code?
>
> By the way, I use systemfit's 3sls with method3sls='GMM', but I can't get
> the suitable results.

The argument "method3sls" of systemfit is only relevant for
three-stage least-squares estimations (i.e. argument "method" is
"3SLS"). Currently, systemfit cannot estimate models by GMM.

Best,
Arne

-- 
Arne Henningsen
http://www.arne-henningsen.name