做GMM回归时出现如下情况,不知道是什么原因呢?
程序如下:
gmm (eq1:excess_ret_111-rmrf*{b1}-OMU*{o1}-hml*{h1}-{a1}) (eq2:excess_ret_112-rmrf*{b2}-OMU*{o2}-hml*{h2}-{a2}) (eq3:excess_ret_113-rmrf*{b3}-OMU*{o3}-hml*{h3}-{a3}) (eq4:excess_ret_121-rmrf*{b4}-OMU*{o4}-hml*{h4}-{a4}) (eq5:excess_ret_122-rmrf*{b5}-OMU*{o5}-hml*{h5}-{a5}) (eq6:excess_ret_123-rmrf*{b6}-OMU*{o6}-hml*{h6}-{a6}) (eq7:excess_ret_131-rmrf*{b7}-OMU*{o7}-hml*{h7}-{a7}) (eq8:excess_ret_132-rmrf*{b8}-OMU*{o8}-hml*{h8}-{a8}) (eq9:excess_ret_133-rmrf*{b9}-OMU*{o9}-hml*{h9}-{a9}) (eq10:excess_ret_211-rmrf*{b10}-OMU*{o10}-hml*{h10}-{a10}) (eq11:excess_ret_212-rmrf*{b11}-OMU*{o11}-hml*{h11}-{a11}) (eq12:excess_ret_213-rmrf*{b12}-OMU*{o12}-hml*{h12}-{a12}) (eq13:excess_ret_221-rmrf*{b13}-OMU*{o13}-hml*{h13}-{a13}) (eq14:excess_ret_222-rmrf*{b14}-OMU*{o14}-hml*{h14}-{a14}) (eq15:excess_ret_223-rmrf*{b15}-OMU*{o15}-hml*{h15}-{a15}) (eq16:excess_ret_231-rmrf*{b16}-OMU*{o16}-hml*{h16}-{a16}) (eq17:excess_ret_232-rmrf*{b17}-OMU*{o17}-hml*{h17}-{a17}) (eq18:excess_ret_233-rmrf*{b18}-OMU*{o18}-hml*{h18}-{a18}) (eq19:excess_ret_311-rmrf*{b19}-OMU*{o19}-hml*{h19}-{a19}) (eq20:excess_ret_312-rmrf*{b20}-OMU*{o20}-hml*{h20}-{a20}) (eq21:excess_ret_313-rmrf*{b21}-OMU*{o21}-hml*{h21}-{a21}) (eq22:excess_ret_321-rmrf*{b22}-OMU*{o22}-hml*{h22}-{a22}) (eq23:excess_ret_322-rmrf*{b23}-OMU*{o23}-hml*{h23}-{a23}) (eq24:excess_ret_323-rmrf*{b24}-OMU*{o24}-hml*{h24}-{a24}) (eq25:excess_ret_331-rmrf*{b25}-OMU*{o25}-hml*{h25}-{a25}) (eq26:excess_ret_332-rmrf*{b26}-OMU*{o26}-hml*{h26}-{a26}) (eq27:excess_ret_333-rmrf*{b27}-OMU*{o27}-hml*{h27}-{a27}),igmm instruments(eq1 eq2 eq3 eq4 eq5 eq6 eq7 eq8 eq9 eq10 eq11 eq12 eq13 eq14 eq15 eq16 eq17 eq18 eq19 eq20 eq21 eq22 eq23 eq24 eq25 eq26 eq27:rmrf OMU hml) wmatrix(hac nwest 4) vce(hac nwest 4) winitial(unadjusted, independent) nocommonesample
estat overid