John,
how many clusters do you have? May be you are running out of clusters
in estimation of the weight matrix if you have fewer clusters than
parameters.
On Sat, Oct 29, 2011 at 11:56 AM, John Antonakis <John.Antonakis@unil.ch> wrote:
> The goal of my estimation procedure is to make cross model comparison, where
> the model have different instruments ( and given the clustering I have, I
> want to have a generalized Hausman test hence the use of gmm). I want to
> show that the second stage estimates don't change when I change the
> instruments....it's a simulation study I am working on, hence the
> "strangeness".
--
Stas Kolenikov, also found at http://stas.kolenikov.name
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