Can SHAZAM do GMM with Tukey weights and variable lag length?
Yes, GMM can be performed with the the NL command where you can either specify a weighting matrix of your own design or select from a range of designs including Bartlett, Parzen, Tukey, Quadratic Spectral and others.
See the NL chapter of the SHAZAM Reference Manual or the Quick Reference here: http://www.econometrics.com/ref/nl.htm
Asked: 2011-05-12 07:18:41 +0000
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Last updated: May 12 '11