Generalized Moment Method (GMM) in R

Asked 2 years ago, Updated 2 years ago, 36 views

I'm trying to do the generalization moment method with R.

But I don't know much about statistics, so I don't know much about it when I read the document.

How to use GMM with R

I'm trying to do something similar to pages 6 of this paper, (3) and (4).

What kind of script should I write to estimate expressions (3) and (4) in R?
I would appreciate it if you could let me know what kind of data sets I should prepare.

To be honest, there are many variables in Usage and I don't know much about statistics, so I have no idea which variables to put in which data.

I look forward to your kind cooperation.

r

2022-09-30 16:29

1 Answers

Possible workarounds (sorry if they have already been implemented)
1. Search materials in English
"If you search ""GMMR"" and so on, you will see an example of a search using a data set."
For example
https://www.jstatsoft.org/article/view/v034i11
http://www.brodrigues.co/2013/11/07/gmm-with-rmd
http://www.slideshare.net/shotayasui/dynamic-panel-in-tokyo-r
(The last one is Japanese regardless of R.)

In addition to gmm, packages such as plm and systemfit seem to be able to calculate GMM.

2,Use other software such as Stata
I have an image that Stata and Views are better at econometric methods such as GMM, so if you are in an environment where you can use them, why don't you rely on them?In that case, there is a possibility that you can find this method in Japanese books.

add

in the paper 6p "This article also derives parameters by GMM estimation based on the methodology of Arellano and Bond (1991)."
"There is one, so when I search ""Arellano Bond GMM,"" I feel like I'm going to get a hit.For example, Here.There were quite a few pages in Japanese.
In addition to this article, many other patterns seem to use pgmm in the plm package for panel data processing instead of the gmm package.(The Alellano Bond method is a dynamic panel data processing method.) It seems that there are more reference pages, so I think it would be better to try pgmm.

I'm not an expert, so please excuse me.


2022-09-30 16:29

If you have any answers or tips


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