ENH: add misspecificatin robust inference for GMM models
WanBenLe opened this issue · 7 comments
I don't know if linearmodels accept the new GMM models - I reproduced the following paper (correction for finite error identification, and iterative updated GMM models dealing with cluster with Over-identification J-test) on python, and got results consistent with the source code. I would love to have my code as part of linearmodels if possible.
INFERENCE FOR ITERATED GMM UNDER MISSPECIFICATION, BRUCE E. HANSEN, SEOJEONG LEE,Econometrica, Vol. 89, No. 3 (May, 2021), 1419–1447
Nothing yet, but doesn't seem too hard to implement.
I mean I've already done this, but I don't know if you'd like me to mention this part of the code to linarmodels according to the github process.
A PR would be welcome.
I was using IVGMM before and found that there is no support for multi-IV and panel GMM, yesterday I checked the source code and found that there is no support for it, I don't know how I should start (arellano_bond method and panel GMM with time and clustering), the zip file is a supplement to the literature (MATLAB) and the txt file is the code I reproduced (. py), they are consistent in results
application.zip
You can found the same in this site:
https://www.econometricsociety.org/content/supplement-inference-iterated-gmm-under-misspecification
One option would be to add support where it is possible, e.g., IVGMM, but not for models that are not supported.
One of my ideas is whether it is possible to pass in panel data through the pannel data object, but I would first make this part of the code run independently.