Hi bstudent, I've had the same problem and I wish there was a definitive answer as this seems to be the #1 problem with the package and pgmm would be awesome for economists if we could figure out how to work it! I'm no expert on GMM, but from what I've gathered from other posts, the problem may stem from your panel data being a "long panel" with more time-varying observations than cross-sectional (aka individual level) observations. If that happens then there's a problem with the number of instruments used in the Arellano-Bond estimator. I'm pretty sure you can determine exactly when it would be a problem and what size your data set has to be, but you might have to learn about the asymptotics of the Arellano-Bond estimator. Maybe someday someone who knows more about GMM will tell us how to figure this one out. I love this package, though, and panel data is at the pinnacle of dynamic empirical analysis in economics, so I wish someone could come up with more detailed instructions for non-experts. Panel GMM is becoming widely known as the most efficient estimator of panel data regressions and I think I'd ask the plim package to marry me if I ever found out how to work pgmm. Here's a link to a good paper on "optimal instruments" by Arellano:
http://www.cemfi.es/~arellano/siv2004.pdf Instrumental Variables for Dynamic Panel Models - Arellano (2004) - Micah ps I simply reverted to Stata in order to get my Panel GMM estimations. -- View this message in context: http://r.789695.n4.nabble.com/Running-a-GMM-Estimation-on-dynamic-Panel-Model-using-plm-Package-tp3592466p3873431.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
