GMM to predict the mean and the variance of a variable

Nour

New Member
#1
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 !