GMM for a system (_not_ in the panel context)
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Hi, has anyone ever tried to use gretl's gmm ... end gmm block to
estimate a "classical" multiple-equation system? I'm not talking of
dynamic panels, but a traditional simultaneous equation system. AFAIK
the built-in offerings for a "system" stop at 3SLS and FIML.
thanks
sven
Am 02.02.2023 um 13:16 schrieb Sven Schreiber:
Hi, has anyone ever tried to use gretl's gmm ... end gmm block to
estimate a "classical" multiple-equation system? I'm not talking of
dynamic panels, but a traditional simultaneous equation system. AFAIK
the built-in offerings for a "system" stop at 3SLS and FIML.
Here's a "ping" on this - is this basically a feature request in the
sense that currently you can't do this?
thanks
sven
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Sven Schreiber