Re: [Gretl-devel] Accessor for restricted estimates
On Mon, 15 Nov 2010, Lee Adkins wrote:
Hmmmm ... I think what I may do is create the coefficient matrices R,
r for
the linear combination Rb-r and just use the matrix language to compute the
restricted least squares estimator. Given that I'm going to try a simple
simulation for it I'm thinking the writing and reading to files would slow
things down a lot.
Yes, that makes sense. However, available for testing: in CVS and
snapshots I've now enabled the --full option to the "restrict"
command for single-equation OLS.
open data4-1
ols 1 0 2 3 4
restrict
b3 - b4 = 0
end restrict --full
matrix b = $coeff
b
Append --quiet (or --silent) if you're not interested in the
printout of the restricted estimates.
Allin