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
I wrote a small function to perform fractional differencing on a given
series (attached), loosely modelled after get_diff in
lib/src/transforms.c. I'd already had it integrated into the command line
interface, were it not for the fact that I found it difficult to define
the command the way I'd like it, ie something like
genr y = fracdiff(x,d)
where d is the fractional differencing parameter (-0.5 < d < 0.5).
I'm sure it'd take Allin very little to do this.
Comments on the code are very welcome; I did some basic testing, mainly on
an Ox prototype, but things might well be broken.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università di Ancona
17 years, 11 months