按要求操作就可以了，关键时工具变量的设置。GMM的小样本属性较差，25年的数据（时间序列？）肯定不行，样本量至少上千GMM的表现才可。

哦，谢谢你！GMM要求大样本吗？我看Eviews软件中的GMM功能中靠右“weighting matrix"的下面有"time series" 的选项啊。那这个又是干什么的？谢谢你的回复。

quick/estimate equation/method/gmm.

then input equation specification,as L_SA C R BR YT.

so on.

2.7 To GMM or not to GMM?
The advantages of GMM over IV are clear: if heteroskedasticity is present, the GMM
estimator is more ecient than the simple IV estimator, whereas if heteroskedasticity
is not present, the GMM estimator is no worse asymptotically than the IV estimator.
Nevertheless, the use of GMM does come with a price. The problem, as Hayashi
(2000) points out (p. 215), is that the optimal weighting matrix ^ S at the core of ecient
GMM is a function of fourth moments, and obtaining reasonable estimates of fourth
moments may require very large sample sizes. The consequence is that the ecient
GMM estimator can have poor small sample properties. In particular, Wald tests tend
to over{reject the null (good news for the unscrupulous investigator in search of large
t statistics, perhaps, but not for the rest of us). If in fact the error is homoskedastic,
IV would be preferable to ecient GMM. For this reason a test for the presence of
heteroskedasticity when one or more regressors is endogenous may be useful in deciding
whether IV or GMM is called for. Such a test was proposed by Pagan and Hall (1983)

谢谢各位大侠的帮助！