The RATS Software Forum

Thank you so much for the post and sorry for the late reply I didn't receive any email notification, so i thought no body had replied to my post. Unfortunately, i don't believe that there are examples with data available. My director told me that maybe this is too hard for me, because i am writing a...

Hello everyone: I am new to RATS. I had a hard time implementing GMM in rats. Basically, I want to estimate an asset pricing model using GMM based on the book of Cochrane: But i don't know how to properly specify the moment conditions. It is about implementing a linear factor asset pricing model. II...