Define GMM Moment Conditions for Rigobon Triangular System

Creates the moment function for GMM estimation of a triangular system using Rigobon's regime-based identification.

Usage

rigobon_moment_conditions(
  theta,
  data,
  system,
  y1_var,
  y2_var,
  x_vars,
  regime_var,
  add_intercept = TRUE
)

Arguments

theta

Numeric vector. Parameters to estimate.

data

Data frame containing the variables.

system

Character. The type of system, either "triangular" or "simultaneous".

y1_var

Character. Name of the first dependent variable.

y2_var

Character. Name of the second dependent variable.

x_vars

Character vector. Names of exogenous variables.

regime_var

Character. Name of the regime indicator variable.

add_intercept

Logical. Whether to add an intercept.

Value

Matrix of moment conditions.

References

Rigobon, R. (2003). Identification through heteroskedasticity. Review of Economics and Statistics, 85(4), 777-792.