ENH: add misspecificatin robust inference for GMM models

[WanBenLe]

I don't know if linearmodels accept the new GMM models - I reproduced the following paper (correction for finite error identification, and iterative updated GMM models dealing with cluster with Over-identification J-test) on python, and got results consistent with the source code. I would love to have my code as part of linearmodels if possible.
INFERENCE FOR ITERATED GMM UNDER MISSPECIFICATION, BRUCE E. HANSEN, SEOJEONG LEE,Econometrica, Vol. 89, No. 3 (May, 2021), 1419–1447

[bashtage]

Nothing yet, but doesn't seem too hard to implement.

[bashtage]

https://www.ssc.wisc.edu/~bhansen/papers/ecnmt_21.pdf

[WanBenLe]

I mean I've already done this, but I don't know if you'd like me to mention this part of the code to linarmodels according to the github process.

[bashtage]

A PR would be welcome.

[WanBenLe]

I was using IVGMM before and found that there is no support for multi-IV and panel GMM, yesterday I checked the source code and found that there is no support for it, I don't know how I should start (arellano_bond method and panel GMM with time and clustering), the zip file is a supplement to the literature (MATLAB) and the txt file is the code I reproduced (. py), they are consistent in results

iterGMMest.txt

application.zip
You can found the same in this site:
https://www.econometricsociety.org/content/supplement-inference-iterated-gmm-under-misspecification

[bashtage]

One option would be to add support where it is possible, e.g., IVGMM, but not for models that are not supported.

[WanBenLe]

One of my ideas is whether it is possible to pass in panel data through the pannel data object, but I would first make this part of the code run independently.