Re: [Gretl-devel] constructing an SUR system programmatically
On Sat, 11 Dec 2010, Sven Schreiber wrote:
Needless to say, it's a welcome extension of gretl's
capabilities. Here
are some comments and questions...
Am 10.12.2010 04:04, schrieb Allin Cottrell:
>
> Here's the deal: Up till now the only thing accepted by way of
> specification of the equations in a "system" block has been a set
> of "equation" statements, but now you can say
>
> equations <matrix-name>
>
> Note the plural in "equations". The parameter should be the name
> of a pre-defined matrix, each row of which represents a list
> (left-hand side variable, regressors). If some lists are longer
> than others, the matrix should have g columns where g is the
> length of the longest list, and shorter lists should be padded
> with trailing zeros.
First a general question: Is it planned (in the longer term) to add
nonlinear system estimation to gretl? (Apart from generic GMM I mean.)
It's not on the active list at present, but may happen at some
point.
> It works, but has a couple of limitations:
> (2) You can't insert the equivalent of ";" into a matrix, and so
> you cannot specify an equation's list "tsls-style". This is a
> problem only (a) if you are using instruments and (b) you want to
> use specific instruments in specific equations rather than using a
> common set of instruments for all equations.
Is it the case that the matrix contains the ID numbers of the
variables? Then in principle I guess that negative numbers could
be used as codes for stuff like ";".
True, but this would be very ugly.
But wouldn't it in general be a better idea to use the new
bundle data type for these things? ...
That's an interesting suggestion, thanks. It could support various
possible future extensions -- including nonlinear specs, as you
say.
Allin