Re: [Gretl-devel] bug when using gmm
On Fri, 30 May 2008, Sven Schreiber wrote:
Hello,
either this post contains a relatively stupid question or I've stumbled
upon a strange bug in gretl. this is with the released 1.7.4 on windows
(no snapshot). Since you would have asked me for it anyway, I'm
providing a testcase right away.
The attached script contains two gmm blocks, which AFAICS should be
independent and not affecting each other. The funny thing is, if I
comment out the first gmm block, the results of the second gmm
estimation change. As I'm writing this, tired and everything, I feel
sure that somebody is going to point out a programming mistake and make
me feel embarrassed, but well, maybe it's a gretl bug after all.
Fortunately, it isn't.
When you do 2 or more steps in GMM, the weights matrix gets updated.
Hence, in your script the second GMM blocks starts with the weights matrix
out of the first one. If you insert the statement
matrix dnew2weights = inv(dnew2mat'dnew2mat)
between the two gmm blocks, you get that the second estimate is precisely
equal to what would have been if you had skipped the first gmm block.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti