Estimation of risk premium with GMM

[mario perticati]

hi all,

I am trying to estimate productivity risk premium through GMM procedure. Someone can help me in setting the system? I have different porfolios based on country and I want to set the system based on Cochraine (2005). Unfortunately, when I run it, I have an error.


gmm (eq1R1 -{a}-{b_mkt}*mkt - {b_pr}*pr) ///
(eq2R2-{a}-{b_mkt}*mkt - {b_pr}*pr) ///
(eq3: mkt*(R1 -{a}-{b_mkt}*mkt - {b_pr}*pr) ///
(eq4: pr*(R2-{a}-{b_mkt}*mkt - {b_pr}*pr) ///
(eq5: (R1-b_mkt*{lambda_mkt }- b_pr*{lambda_pr}) ///
(eq6: (R2-b_mkt*{lambda_mkt }- b_pr*{lambda_pr}) ///
..... and so on for each ptf (2 per country)

instruments(eq1: mkt pr)
instruments(eq2: mkt pr)
instruments(eq3: mkt pr)
instruments(eq4: mkt pr)
instruments(eq5: b_mkt b_pr )
instruments(eq6: b_mkt b_pr )

Thank you in advance