Hi! I'm trying to do panel VAR using gmm and I get error:
Error: Can't subset columns that don't exist.
x Locations 15, 9, 3, 19, 7, etc. don't exist.
There are only 1 column.
I checked that all variable names are correct.
var1 <- pvargmm(dependent_vars = c("Gini", "Unemployment", "LT interest rate", "ST interest rate", "Wage", "GDP growth", "HICP", "Equity index"),
lags = 1,
transformation = "fod",
data = data,
panel_identifier=c("Country", "Year"),
steps = c("twostep"),
system_instruments = FALSE,
max_instr_dependent_vars = 99,
max_instr_predet_vars = 99,
min_instr_dependent_vars = 2L,
min_instr_predet_vars = 1L,
collapse = FALSE)