[R] PANEL model (MCMC): Equivalent of system GMM in MCMC

Linus Holtermann holtermann at hwwi.org
Mon Nov 24 16:32:04 CET 2014

Dear list members,

I want to fit a PANEL model via MCMC. I am concerned, that I got some covariates that are endogenous. I use MCMC for various reasons, particularly cause I got some spatial dependencies in my model. I am afraid that there are no valid instruments, so i like to apply a procedure that is similiar to system GMM within the MCMC framework. I need to solve the endogeneity problem without IV. Are there any solutions to this kind of problem? Are those implemented in R or are there any codes that might help.

Thanks in advance,

Linus Holtermann
Hamburgisches WeltWirtschaftsInstitut gemeinnützige GmbH (HWWI)
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Email: holtermann at hwwi.org
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