Totally correct, the parameter estimates are the mean value for each subperiod - at least this was also expected from me for the OLS. interestingly the OLS std errors are smaller than the GMM errors.
As written in my first post, my model does not incorporate an interept at all and ideally it...
Thanx for your answers so far, i tried some other forrums, but no1 could give ANY advice.
If you have 7 periods, can you specify 7 dummies and an intercept? Shouldn't there be 6 dummies, or no intercept?
--> 7 dummies and no intercept (with all dummies as orth. cond) returns "near...
tx for quick answer!
i do not get the message with ols -> data is more than 70.000 observations so i don't think that's the problem.
i tried the following model:
Y(t) = c + c(1)*dummy1+c(2)*dummy2+c(3)*dummy3+c(4)*dummy4+c(5)*dummy5+c(6)*dummy6+c(7)*dummy7 +error(t)
the problem comes...
Hello,
I have a question concerning the GMM equation specification.
Say we partition each day in 7 intraday intervals. We want to estimate the 7 intraday interval moments for a variable Y observed in those 7 intervals over a period of T days meaning we have t = T*7 total observations for...