Hello,
I'm a newbie with R, and this is my first time to post here. Apologies in
advanced if I should be posting my question on another list.
I'm working on a problem on Arellano and Bond's GMM estimator, and I've chosen
to use plm/pgmm. My issue is, I'm getting different results from pgmm() every
time I run it. Here's my code:
library(plm)
mydata = read.csv('mydata.csv')
ab = pgmm(formula = y ~ lag(y,1), data = mydata, gmm.inst=~lag(gmm_inst,1),
effect = "individual", model="onestep")
coef(ab)
I noticed that every time I run the last 2 lines, I get different results after
a few or so runs. Sometimes, I get an error, then in the next run, I get
results. I can't figure this out, and I'm a bit desperate for a light at the
end of the tunnel.
I'm attaching the data file I'm using. It's a N=150, T=30 panel data with
practically only one variable.
Thank you very much!
Rolan______________________________________________
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