Dear Richard, although I am co-author of some (other) parts of 'plm', my understanding of GMM methods is still rudimentary. Yet I have tried a quick exercise replicating Example 18.5 in Greene's "Econometric Analysis" (5th ed.) like this
## retrieve data from the book's site here http://www.stern.nyu.edu/~wgreene/Text/tables/TableF18-1.txt ## then discard first (empty) column; I did it in Excel, I must confess Muni <- read.table(file="TableF18-1.txt",h=T) ## estimate model munimod <- pgmm(dynformula(expend ~ revenue + grants, lag=list(3,3,3), log=F), data=Muni, gmm.inst=~expend, lag.gmm=list(c(2,99)), effect="twoways", model="twosteps") and it looks like working at first try. Sure I'm putting the wrong lags w.r.t. the original paper, but I get no crashes. So there *are* other working examples after all :^) Please consider that the GMM estimator is justified by N-asymptotics, while in your Grunfeld example you have N=10. This looks like the wrong dataset to begin with: I'm not surprised you get a singular matrix somewhere... I've sent an email to the maintainer anyway. Please next time consider dropping him a line directly, as your post in the crowded r-help could easily have been overlooked. We value user feedback. Best, Giovanni ############# original message ################### Message: 61 Date: Sun, 8 Mar 2009 10:06:12 +0100 From: Richard Foltyn <richard.fol...@gmail.com> Subject: [R] singular matrices in plm::pgmm() To: r-help@r-project.org Message-ID: <f63c7e6e0903080106p4ff499c3ob710c461715b2...@mail.gmail.com> Content-Type: text/plain; charset=UTF-8 Hi list, has anyone succeeded in using pgmm() on any dataset besides Arellano/Bond's EmplUK, as shown in the vignette? Whatever I try, I eventually get a runtime error because of a singular matrix at various points in pgmm.diff() (which gets called by pgmm()). For example, when estimating a "dynamic" version of the Grunfeld data: data(Grunfeld, package="Ecdat") grun <- pgmm(dynformula(inv ~ value + capital, lag=list(1,1,1), log=T), data=Grunfeld, gmm.inst=~log(inv), lag.gmm=list(c(2,5)), model="twosteps") Error in solve.default(suml(A2)) : system is computationally singular: reciprocal condition number = 8.83721e-21 I read all the documentation available and tried stepping through the source code, but pgmm.diff() is not exactly the easiest function to understand, especially given R's suboptimal debugging facilities. Please let me know if you had better luck with your estimation. Thanks, Richard ################################################# Giovanni Millo Research Dept., Assicurazioni Generali SpA Via Machiavelli 4, 34132 Trieste (Italy) tel. +39 040 671184 fax +39 040 671160 Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:13}} ______________________________________________ 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.
