[R] Running a GMM Estimation on dynamic Panel Model using plm-Package

[Paul Johnson]

On Sun, Jun 12, 2011 at 2:43 PM, bstudent <marc.ruetten at gmx.de> wrote:
> Hello,
>
> although I searched for a solution related to my problem I didn´t find one,
> yet. My skills in R aren´t very large, however.
> For my Diploma thesis I need to run a GMM estimation on a dynamic panel
> model using the "pgmm" - function in the plm-Package.
>
> The model I want to estimate is: "Y(t) = Y(t-1) + X1(t) + X2(t) + X3(t)" .
>
> There are no "normal" instruments in this model. There just should be the
> "gmm-instruments" I need for the model.
> In order to estimate it, I tried the following code:
>
>>
>> library(plm)
>>
>> test <- pgmm(Y ~ lag(Y, 1) + X1 + X2 + X3 | lag(Y, 1), data=Model,
>> effect="individual", model="onestep")
>>
>>
>
> I tried "Model" as "Modelp <- pdata.frame(..." and as "Model <-
> read.table(..." but in both cases there´s an error-massage:
>
> Error in solve.default(Reduce("+", A2)) :
>  System ist für den Rechner singulär: reziproke Konditionszahl =
> 4.08048e-22
>

Hello,

I have students working on similar problems.  Here is what I would say to them:

Without a dataset and code that is supposed to work, nobody can figure
out what's wrong and help you around it.

2 suggestions

1. directly contact Yves Croissant, the plm principal author, and
give him your R code and the data set. Show him the error output you
get.  Here's the contact information:   Yves Croissant
<yves.croissant at univ-reunion.fr>

If he answers, please let us know.

If you don't want to (or can't) give real data, make some up that
causes the same crash.

2. post in here a link to your data and the full code and I will try
to debug it to at least find out where this is going wrong.  I've been
studying debugging with R functions and this is a good  opportunity
for me.

I stopped focusing on panel estimator details in 2000, so I'm rusty,
but will probably recognize most of what is going on.  If you don't
want to broadcast this to everybody, uou can feel free to contact me
directly, pauljohn at ku.edu is my university address.

PJ

-- 
Paul E. Johnson
Professor, Political Science
1541 Lilac Lane, Room 504
University of Kansas