用R中函数pgmm怎么用啊，onestep和twosteps有什么区别

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

        用R中函数pgmm怎么用啊，onestep和twosteps有什么区别，还有effect中选项有什么区别，帮助上面的有些没说，有的我看不懂。请高手指点。还有有时，怎么出不来结果呢？

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：twostep onestep Steps Step ones

pgmm(formula, data, subset, na.action,
     effect = c("twoways", "individual"),model = c("onestep", "twosteps"),
     transformation = c("d", "ld"),fsm = NULL, index = NULL, ...)
######
The effect argument is either "twoways" (the default), or "individual"  .
"individual": the model is estimated in first differences
"twoways": the model is estimated in first differences and time dummies are included.
#######
transformation:"d" (the default value) for the“difference GMM”model(一阶差分GMM)
                   or "ld" for the “system GMM"(系统GMM)

fsm the matrix for the one step estimator :
    if transformation="d",one of "I" (identity matrix) or "G" (=D'D where D is the first-difference operator)  
    if transformation="ld", one of "GI" or "full"

"onestep" estimators are computed using a known weighting matrix.

"twosteps"method:
  利用第一阶段估计得到的残差构造方差-协方差矩阵，进而重新估计模型.
1.Two-step feasible GMM
   Step 1: Take W = I (the identity matrix),...
   Step 2: Take..........
2.Iterated GMM
3.Continuously Updating GMM

更进一步了解,请参考:
  package "gmm",gmm.pdf
  package "plm",panel Data Econometrics in R: the plm Package.pdf

epoh 发表于 2011-9-11 20:07
pgmm(formula, data, subset, na.action,
     effect = c("twoways", "individual"),model = c("onestep" ...

谢谢了!!!!!

我看包里的例子有一个地方不太懂，比如z2 <- pgmm(log(emp) ~ lag(log(emp), 1)+ lag(log(wage), 0:1) +
        lag(log(capital), 0:1) | lag(log(emp), 2:99) +
        lag(log(wage), 2:99) + lag(log(capital), 2:99),
        data = EmplUK, effect = "twoways", model = "onestep",
         transformation = "ld")
summary(z2, robust = TRUE)


我不太懂命令中红色的部分，另外2：99的设定的根据是什么？

滞后的意思

yanbridge 发表于 2011-11-6 20:03
我看包里的例子有一个地方不太懂，比如z2

你搞懂了2：99怎么设定没？求指点

yanbridge 发表于 2011-11-6 20:03
我看包里的例子有一个地方不太懂，比如z2

红色什么意思啊

yanbridge 发表于 2011-11-6 20:03
我看包里的例子有一个地方不太懂，比如z2

适用解释变量的滞后2：99项作为差分方程的GMM工具变量