Re: [Gretl-devel] an Odd example with restrict -- NA as a standard error
On 11/18/2012 03:43 AM, Allin Cottrell wrote:
On Sat, 17 Nov 2012, Lee Adkins wrote:
You're estimating the model subject to a restriction that is
violently at odds with the data (F(6, 1073) = 463) and you're
stressing the numerical apparatus to breaking point.
For comparison, here's the estimation done manually using William
Greene's formulae:
...
Here, the computed variance of the restricted estimator has a
negative diagonal entry, so you get a NaN among the standard errors.
This is a great opportunity to repeat what I wrote in the slightly
different context of the Hausman test
(http://econ.schreiberlin.de/schreiberresearch.html#hausman): If you get
such weirdness such as negative estimated variances, chances are that
the restriction should be rejected, which is exactly the opposite of
what Greene and others have been recommending (by setting the test
statistic to zero).
With respect to gretl's behavior: Some warning message as used to be the
case with the Hausman test would be nice I guess. What I didn't
understand from Lee's output is why there were values displayed for the
constant term if everything else fails.
Thanks,
sven