Dear Sir or Madam:
   I am Shaojuan Liao, the 3rd year Ph.D. student from Econ Department,
Virginia Tech.
   I don't know whether it is appropriate to ask you questions on the
command pgmm. But I don't know how to deal with the case where all X are
exogenous and all T time periods'  X can be used as the instrument.
Problem 1:
 I know when X are predetermined, such as
Z=[y1,X1,X2, 0,    0,  0,  0,   0, ............
     0,  0,  0, y1, y2, X1, X2, X3, ............
     .....................................................] with 2 period
loss
I can put X as part of gmm.inst, and specify the lag.gmm

If X are not specified,
 Z=[y1,  0,  0,  0,  0,  0,  0, ................. dX3
       0,  y1,y2, 0,  0,  0,  0, ................. dX4.
       0,  0,  0,  y1,y2, y3,0, ................. dX5]with 2 period loss
I don't put X as part of gmm.inst nor speficy the lag.gmm of X

But if X are strictly exogenous, I don't know how I can implement this case
by the command.
Z=[y1,X1.....XT,  0,  0,  0,  0,  0,  0, .................
     0,  0,......0,   y1,y2, X1.....XT,0,..................
     ..............................................................] with 2
period loss
Problem 2:
   What is more, if y0 exists but X0 does not exist, so that the instrument
matrix is
Z=[y0,X1,  0,  0,   0,  0,  0,  0,  0,   0,  0,  0,  0,............
     0,  0,  y0, y1, X1, X2, 0, 0,  0,   0,  0,  0,  0,............
     0,  0,   0,  0,   0,  0,  y0,y1,y2 ,X1, X2, X3,0.............] with 1
period loss
  How can I use the pgmm command to do that?

Problem 3:
  I can get the same result as the command pgmm when everything is alright.
But sometimes, in the second stage, to calculate V= the sum ofW'(du){du') W
for each individual, I even get the V singular and uninvertable.  What do
you think of the reason for this?

 Thanks so much for your help!

Best!
  Shaojuan

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