[Gretl-devel] I'm back!

Folks, although I've been in sleep/suspend mode for a few weeks now, I managed to get some low-intensity work done. The beginning of the story is that I've decided to adopt as textbook for next year Marno Verbeek's outstanding book (in the excellent Italian translation by Sergio Pastorello). See http://www.wiley.co.uk/verbeek2ed/ for details. Following the "Data Sets" link lets you download the data in stata and eviews format. As a consequence, I converted all the example datasets into gretl and reproduced nearly all the tables in the text. Attached you'll find a gzipped tarball with all the necessary ingredients. This was also a nice way of telling how well gretl covers the needs of the average applied economist. As you will see by the comments interspersed in the scripts, there is little gretl can't presently do natively, and in most cases even that can be done via the mle command. In one case, I had to resurrect my old heckit function[1]. The one thing that gretl cannot be coerced into doing at the moment is GMM, which is necessary for reproducing Table 5.4. However, I've written an Ox prototype, which I'm also attaching. It's very scant on comments, but it should be mostly self-explanatory. IMHO it should take Allin very little to incorporate the GMM algorithm into gretl, the only spot potentially tricky to implement being the calculation of the Jacobian, for which Ox has a dedicated function. Obviously, it's way too late to consider the inclusion of this into 1.6.0, but this and Arellano-Bond (already under way, at least in the planning) could take relatively little time to implement, and would well warrant bumping the version number to 1.6.1. I'd say it's not unreasonable to have these two extra features in by the end 2006. Please give the whole thing a good go. If you don't find any gross mistakes, I'll contact Verbeek to see if he's interested in adding gretl datasets to the Wiley website. Have a nice day, everyone. [1] Which could even go into the new-style function repository, no? Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona