[Gretl-devel] Re: system: problems with specification details (instruments/endogenous)
On Sun, 6 Dec 2020, Sven Schreiber wrote:
Hi all system aficionados,
here are some examples where I don't quite understand the reasons for
the various failures. All are variations of the shipped example script
kmenta.inp.
1)
<hansl>
Kmenta <- system
equation Q const P D ; const D F A
equation Q const P F A ; const D F A
end system
estimate Kmenta method=ols
</hansl>
The error message is: "OLS: tsls-style lists not supported"
In current git you'll find a new branch, system-new (I'm branching
because this could break stuff, in ways not easily foreseen). In
system-new, we support estimation of a system defined via
per-equation tsls-style lists, as in Kmenta above, using all the
estimators accepted by "system", as follows:
* tsls, 3sls and liml: respect the given per-equation lists.
* ols, wls and sur: construct temporary lists with the instruments
chopped off.
* fiml: construct temporary lists using all exogenous variables as
instruments.
Please test.
Allin