Hello Statalist,
1.I am using time series data. my main equation is
pbt = a0+a1pbt-1+a2pdt-1+ogt+e
but there is a problem of endogeneity so we use instrumental variables and the equation for that is
pdt-1= b0+b1pbt+b2EXt+b3ogt-1+vt here (EX and ogt-1 are instrumental variables)
here
pb is primary balance
pd is public debt
og is output gap (using HP filter)
EX is exchange rate.
how to use GMM for the above mention data particularly the IV's.
2. As my data is time series so do we need stationarity check before using GMM?.
Thanks for your valuable input.
Related Posts with GMM for time series
How to get the error termDear Statalists, Greetings, I will be so grateful to have an answer for the following issue, pleas…
estate binary indicatorsHello, I am exporting results with a binary variable as the main IV, and the output shows "var=1" a…
Panel data replace all valuesHello! I'm fairly new to Stata 17, and Stata in general and I had a question about replacing all va…
Need Help with Stata AssignmentHi, Not sure if I can use this forum to get academic help so if this isn't right please delete my po…
Twoway graphs: yaxis only on the right-hand side (like in The Economist)Dear Forum, I wonder how to create graphs that have the yaxis only on the right-hand side, like man…
Subscribe to:
Post Comments (Atom)
0 Response to GMM for time series
Post a Comment