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GMM Error "Order condition violated-Insufficient instrumens"
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Moderators: EViews Gareth, EViews Moderator Post Reply Print view 7 posts • Page 1 of 1 osnola Posts: 5 Joined: Mon Jan 13, 2014 11:42 am GMM Error "Order condition violated-Insufficient instrumens" QuotePostby osnola » Mon Jan 13, 2014 12:05 pm Hello. Please help me with this problem.I'm estimating a equation with 4 coefficients using GMM [with the following options: (1) HAC (Newey-West); (2) Iterate to Convergence;] and using 7 instrumens (in especific i'm using lags of variables like instruments).I have more instruments that coeficients and Eviews send me the error message "Order condition violated-Insufficient instrumens", I don't know what is happend with this?And in some cases, if I change the order of the instrument (the same instruments but in different order) Eviews can do the estimation.The order of the instruments it's important?Can you help me? Thanks Top EViews Gareth Fe ddaethom, fe welon, fe amcangyfrifon Posts: 13355 Joined: Tue Sep 16, 2008 5:38 pm Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby EViews Gareth » Mon Jan 13, 2014 12:26 pm Post the workfile, along with the equation specification. Follow us on Twitter @IHSEViews Top osnola Posts: 5 Joined: Mon Jan 13, 2014 11:42 am Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby osnola » Mon Jan 13, 2014 1:01 pm Hello, here are more specific details and the Workfile in Eviews 8.Specification:GMM(METHOD=CONVERGE,INSTWGT=HAC,NOCINST) INF=C(1)*INF(1)+C(2)*GAP+C(3)*PT+(1-C(1)-C(3))*INF(-1)+C(4)*D2010M11) So, with this instruments order i can't estimate, because Eviews send me the error "Order condition violated-Insufficient instrumens";@ infus(-7 to -10) inf(-1 to -1) gap(-0 to -0) dner(-7 to -7) d(d2010m1)2) when i change the order of instruments Eviews can do it without a problem@ inf(-1 to -1) infus(-7 to -10) gap(-0 to -0) dner(-7 to -7) d(d2010m1)I'm confused about this problem. This is happening me with differents sets of instruments.Thank you. Attachments bd.wf1 (28.67 KiB) Downloaded 452 times Top EViews Gareth Fe ddaethom, fe welon, fe amcangyfrifon Posts: 13355 Joined: Tue Sep 16, 2008 5:38 pm Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby EViews Gareth » Mon Jan 13, 2014 2:29 pm Looks like the weighting matrix is very close to singular, and is just failing the singularity check with one order, and just passing with another order. Follow us on Twitter @IHSEViews Top osnola Posts: 5 Joined: Mon Jan 13, 2014 11:42 am Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby osnola » Mon Jan 13, 2014 3:14 pm OK, but then the error message is incorrect, didn't?There are a problem with set of instruments but isn't this "Order Condition Violated - Insufficient Instruments".Thank you Top EViews Gareth Fe ddaethom, fe welon, fe amcangyfrifon Posts: 13355 Joined: Tue Sep 16, 2008 5:38 pm Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby EViews Gareth » Mon Jan 13, 2014 3:18 pm When the weighting matrix is singular, EViews drops instruments so that estimation can occur. If it drops too many, eventually you hit insufficient instruments. Follow us on Twitter @IHSEViews Top osnola Posts: 5 Joined: Mon Jan 13, 2014 11:42 am Re: GMM Error "Order condition violated-Insufficient instrum QuotePostby osnola » Mon Jan 13, 2014 3:33 pm It has been a great help. Greetings and thank you very much. Top Post Reply Print view 7 posts • Page 1 of 1Return to “Estimation” Jump to Technical Support Installation and Registration License Manager Data Manipulation Estimation Programming Tips, Tricks and Suggestions General Information and Tips and Tricks Suggestions and Requests Bug Reports Any Other Business Program Repository EViews Add-ins Add-in Support Add-in Writing area Models Models Econometric Discussions Econometric Discussions Who is onlineUsers browsing this forum: No registered users and 47 guests |
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