System Generalized Method of Moment (GMM-SYS) for Panel Data (Dynamic) in Eviews

This video provides some useful steps on how to use Eviews to estimate a System Generalized Method of Moment (GMM). Note that there is currently no formal procedure available in Eviews for estimating a System GMM, not even in an Add-in form. However, I have presented some simple steps that would be followed to manipulate the Eviews. With these steps, Eviews pools the Panel Cross-sections and estimates the System GMM in the form of PMG regression.

For the requisite theoretical knowledge of the System GMM, see Arellano and Bover (1995), and Blundell and Bond (1998).

Watch how to input time-series and panel data into the Eviews workfile @:    • Getting Started with EVews: How to In...  

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