simultaneous equations in gretl
by Allin Cottrell
Up till now, gretl has supported only three-stage least squares for
estimating systems of simultaneous equations. Now, in CVS and in
the win32 snapshot available from sourceforge, I have added support
for FIML and LIML (along with automatic testing of over-identifying
restrictions). I have also added the Hansen-Sargan test for
over-identifying restrictions, for 3SLS and SUR.
I'm looking for help in testing these new additions. I can
replicate the benchmark results for that workhorse, Klein's "Model
1", but I'm finding it hard to find other benchmarks to test
against. So if anyone has datasets on which they've estimated
equation systems using FIML or LIML with other programs, I'd be very
grateful if you could either:
* See if you can replicate the results using gretl, and let me know
what happens; or
* Send me a copy of the dataset and the output from the other
program, so I can try the replication.
Thanks very much for any assistance.
Department of Economics
Wake Forest University, NC
17 years, 7 months
Segmentation fault when running a script
by David Vonka
Hi to all,
there seems to be a bug in the parser. A script like
command2; # comment
generates a segmentation fault, while
I not sure if Allin had the intention to allow comments
like in the first case, but Gretl should crash even if
The script + data file that crashes on my computer is
David Vonka <davidek(a)zla-ryba.cz>
Ministry of Industry and Trade, Na Frantisku 32, Praha 1, Czech Republic
18 years, 3 months
gretl and x-12-arima
by Robert Tischer
I am building gretl for use in the Sorcerer Linux distribution and have
no problems except when I try to use x-12-arima, I get the
X-12-ARIMA COMMAND FAILED
I've tested x-12-arima using the examples provided and it works fine.
What could I be missing?
18 years, 3 months
Gretl: need datasets estimated using FIML or LIML for testing -- Fairmodel?
>I'm looking for help in testing these new additions [to Gretl]. I can
> replicate the benchmark results for that workhorse, Klein's "Model
> 1", but I'm finding it hard to find other benchmarks to test
> against. So if anyone has datasets on which they've estimated
> equation systems using FIML or LIML with other programs
Have you looked at Professor Roy Fair's Fairmodel?
One should obtain permission from Professor Fair before proceeding, but
the last time I contacted him (about a year ago) he seemed open.
"The United States model was developed by Ray Fair in 1974-1976, and it
has been used since then for research, forecasting, policy analysis, and
teaching. It has been available for use on personal computers since 1983
and was the first such model to be so. (And it was first on the Web!) The
current version contains 30 stochastic equations and about 100 identities.
The data base begins in the first quarter of 1952. The basic estimation
technique is two-stage least squares. The model accounts for all
flow-of-fund and balance-sheet constraints, which makes it useful for
considering various monetary policy options."
"The US model is available in Fair-Parke format. "
"The commands in FMINPUT.DAT set up, estimate, and solve the US model. "
On a smaller scale, there are examples of an IS model both with and
without "rational expectations"
in Appendix A "Examples for Testing" of the Fair-Parkes User's Guide.
The Fair-Parke Program for the
Estimation and Analysis of
Nonlinear Econometric Models
Programmed by Ray C. Fair
and William R. Parke
User?s Guide written by Ray C. Fair
"The first example in Appendix A sets up, estimates, and analyzes a
version of the IS
model, which is introduced in Chapter 1." page 15 of the User's Guide PDF
"The second example in Appendix A sets up, estimates, and analyzes a
expectations version of the IS model." page 15 of the User's Guide PDF
"Finally, you may want to study some of the examples in Chapter 15. These
also help in understanding some aspects of the program." page 15 of the
User's Guide PDF file
"Sargent?s (1976) classical macroeconomic model is useful for illustrating
of the features of the program." Chapter 15, section 4 (15.4)
Management, Budget & Accounting
City of Orlando
(407) 246-3039 office
(407) 234-3744 cell phone
18 years, 3 months