[Gretl-devel] extensions to the "gmm" command

A couple of extensions to the "gmm" command are now in git (snapshots will follow). 1) The doc for the "orthog" keyword (which defines an orthogonality condition) states that the terms on the left and right of the semicolon can be scalars, matrices or lists, but up till now a list could only be given as a _named_ list. Now a list can be given in "raw" form, as the space-separated names of two or more series. This is convenient in some contexts. 2) Up till now parameters given in connection with the "params" keyword could only be scalars or vectors. Now a general matrix is acceptable. The script below illustrates this usage, with a comparison of estimation of a (very simple) two-equation system via OLS and GMM. <hansl> set verbose off nulldata 100 T = $nobs k = 3 n = 2 matrix X = mnormal(T, k) matrix Y = mnormal(T, n) # OLS matrix U1 = {} matrix B1 = mols(Y, X, &U1) # GMM matrix B2 = zeros(k, n) matrix U2 = zeros(T, n) matrix W = I(n*k) gmm U2 = Y - X*B2 orthog U2 ; X weights W params B2 end gmm print B1 B2 eval max(abs(U1 - U2)) </hansl> Allin Cottrell