[Gretl-devel] Re: Simulate simultaneous equation model

On Mon, 14 Sep 2020, Sven Schreiber wrote: > wrong. Gretl can estimate these structural equations already, with TSLS > equation-per-equation. Of course that's not the efficient estimator > here, and I guess that's what you had in mind. But still it can be done, > since both equations are linear by themselves. Of course you're right, you can use single-equation methods as long as all equations are linear in the coefficients. But then, you have no way, at present to (a) estimate the coefficients jointly (b) set cross-equation restrictions (c) solve the model, unless all the variables are linear.

> I'd even say you can go a long way with linear behavioral systems in the > sense that some variables only appear in logs (including log-differences > as growth rates) and others only in raw levels (including absolute > differences, e.g. for interest rates). This would be less general than > your example above where x and y appear both in levels as well as in > logs. Then you could estimate it in gretl as a system directly -- OK you > can't do FIML because the non-linear identities linking the logs and the > levels are not allowed. But that's not too bad IMHO. It depends on your definition of "not too bad"; the large simultaneous systems I've seen often include nonlinear identities.