ENH/DOC: GMM for panel data. Example/Tuto

[JulietteOrtholand]

I am currently trying to use your GMM model, but I can't find any existing project, example or tuto about it. I saw you have done some notebook of example for other models, which is quite nice, thanks. Do you now if tutorial for GMM exist or if it would be possible to create one ?

Maybe there exist some example of GMM statsmodels use that I have not found, if so could you share them with me ? Otherwise, would it be possible to make a notebook for that as you made for other models in examples?

I am currently working on longitudinal (panel) data and I would like to better understand how GMM could apply to my work. Note that I found https://stackoverflow.com/questions/39008793/are-there-any-examples-for-statsmodels-gmm-generalized-method-of-moments , but it only seems to deal with crosssectional data.

Many thanks :)

[josef-pkt]

We don't have an example of GMM with panel data, AFAIR
I have an old example of asset pricing CAPM https://nbviewer.org/gist/josef-pkt/6895915
AFAIR, all other examples are cross sections

Do you have a dynamic or static panel data model? short and wide panel or long panel? balanced or unbalanced?

The moment conditions will need to be stacked, but I'm not sure how easy that is for different panel types.
(Also not all robust cov_types are implemented for GMM. AFAICS, panel robust cov_types are missing.)

[JulietteOrtholand]

Thank you for your quick answer. I will look carefully to your example and come back to you if needed.

I am working with dynamic panel data model and with long panel (medical patient visits). My datasets are unbalanced but I can start with a balanced subset of them.

Anyway, I'll come back to you soon and close the issue if everything is fine on my side. Is it ok for you ?

[josef-pkt]

For the linear case, you can also look at Kevin's linearmodels package https://github.com/bashtage/linearmodels
AFAICS, GMM for panel data is still missing.

The main GMM class in statsmodels is "generic", but leaves all the work of setting up moment conditions to the user.

You can leave the issue open, and it would be great if you can tell us how it works for you or what's missing.

I didn't find a direct issue for this (although we discussed plans for the dynamic panel system gmm estimator on the mailing list)