Re: [Gretl-devel] different behavior of tsls under just ond over identification
On Tue, 10 Oct 2017, oleg_komashko(a)ukr.net wrote:
mt1 <- tsls y 0 y1 y2 x1 x2; x1 x2 z1 z2 z3
mt1a <- tsls y 0 y1 y2 x1 x2; 0 x1 x2 z1 z2 z3
# mt1 and mt1a gives the same
If this is what surprises you, there is a very simple explanation: if
there is a constant among the regressors but not among the instruments, it
is added automatically. This makes good sense to me, but in fact someone
(I can't remember whether it was Allin or myself) added the following
comment in the C source (line 386 in tsls.c, if anyone's interested):
/* found const in reglist but not instlist:
needs fixing -- or is this debatable? */
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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