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Thread: GMM to predict the mean and the variance of a variable

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    GMM to predict the mean and the variance of a variable




    Dear members;
    I identified a set of variables that are related to currency returns. Suppose that I have 3 state variables and 10 currency returns. I am trying to examine whether those state variables can predict and capture time variations in the first and second moments of the currency returns by using the following moment conditions:

    Et[Rt+1]=Z't * Alfa
    Vt[Rt+1]=Z't * Beta

    Et[.] and Vt[.] are the conditional mean and variance. Rt+1 is the currency returns. Z is the matrix that includes the 3 state variables. The parameters are estimated using GMM.

    How to set this problem using a software (Stata, Eviews, R or Matlab)?
    Thank you in advance !

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    Re: GMM to predict the mean and the variance of a variable

    GMM = Generalized Mixed Models??
    Stop cowardice, ban guns!

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    Re: GMM to predict the mean and the variance of a variable

    GMM = Generalized Method of Moments

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    Re: GMM to predict the mean and the variance of a variable

    That makes more sense given the time variation component.
    Stop cowardice, ban guns!

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    Re: GMM to predict the mean and the variance of a variable


    Could you please tell me how to apply it using one of these softwares (R, Matlab , Eviews or Stata) ? Thanks in advance

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