On Wed, 4 Nov 2009, Gal Wettstein wrote: > I am having some problems with GMM...
One more tip for debugging GMM, Try calculating your "GMM residual" outside of the GMM block and see what it looks like. It should not contain any NAs other than for lost observations at the beginning and/or end of the sample, associated with taking leads and lags. I suspect this condition is not met in your case. A construction that arises in a few places in your "e1" and "e2" series is: (CONS_DETREND - lambda*GDP_DETREND)^(gamma - 1) I assume that "DETREND" means that these series are either first differences or residuals from some sort of regession on time; either way the series will include both positive and negative values. Now you initialize lambda to 0.05 and gamma to 0.1. This means that you're almost certainly trying to take negative numbers to a fractional power. Bzzt! This would result in a complex number and is not legal in regular floating-point arithmetic. In gretl it will produce an NA. Allin Cottrell
