Thanks for your suggestions dear Jan. I am working on the GMM model and my data sample, for over a month. I'm almost sure about parameterization of the model since it's a well-known model which I just try to replicate. there is only one thing in GMM model which was interesting for me. this model is highly sensitive to outliers. after I winsorized the data, the model fit surprisingly became much better. This is, while winsorizing didn't have a significant effect on FIXTWO results. referring to #4, I got this error too and it seems that there is a multicollinearity in my model. However, I couldn't find it!! I could solve this problem by increasing the MAXBAND in GMM or omitting some specific variables from the model. Overall, I found GMM a very sensitive model which its output can change easily and drastically by model's options like type of instruments, number of lags or maxband. thanks again for your comments. Hamed
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