Re: [Gretl-devel] restrict after GMM

On Thu, 31 Jan 2008, Sven Schreiber wrote: > I'm wondering why 'restrict' isn't possible after GMM. Performing > Wald-type tests should not pose extra problems once we have the > estimator and the covariance matrix, right? Or am I missing something? The same applies to mle. It seems quite clear to me that only the --wald form should be allowed (in these cases, automatic estimation of the restricted model would involve quite a bit of work).

I guess in principle this could be done, once we overcome a slight problem of notation: we may adopt a convention by which b3 is $coeff[3] and so on, like we do with, say, ols. Note, however, that this may be confusing in some cases, since gmm & mle allow you to put your parameters under arbitrary names.

But I agree that having "restrict" work after gmm/mle would be nice. Actually, if we decide to devote some time to "restrict", it'd be rather cool to handle nonlinear constraints via the delta method. The problem is, this would probably force us introduce a few backward-incompatible changes.