Message-ID: <AD0050057515F54084E7D5B93478C8481FC6620732@winxbede39.exchange.xchg>
Date: 2014-11-24T15:32:04Z
From: Linus Holtermann
Subject: PANEL model (MCMC): Equivalent of system GMM in MCMC
Dear list members,
I want to fit a PANEL model via MCMC. I am concerned, that I got some covariates that are endogenous. I use MCMC for various reasons, particularly cause I got some spatial dependencies in my model. I am afraid that there are no valid instruments, so i like to apply a procedure that is similiar to system GMM within the MCMC framework. I need to solve the endogeneity problem without IV. Are there any solutions to this kind of problem? Are those implemented in R or are there any codes that might help.
Thanks in advance,
Linus Holtermann
Hamburgisches WeltWirtschaftsInstitut gemeinn?tzige GmbH (HWWI)
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20148 Hamburg
Tel +49-(0)40-340576-336
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Email: holtermann at hwwi.org
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