Re: [Gretl-users] how to reproduce Verbeek's Table 5.4 (one-step GMM)?

On Wed, 16 Nov 2011, Allin Cottrell wrote: > [I see that Jack Lucchetti has replied on this since I started writing, but > I'll post it anyway; having two methods to look at might be useful.] Here's one more variant for comparison: this is closer in spirit to Qi Shi's original approach. Note the "orthog" specification orthog elist ; const will not work right unless you're using current CVS. <hansl> open pricing.gdt set force_hc on scalar delta=0.5 scalar gamma=0.5 series dcg = delta*cons^(-gamma) list elist = null series e0 = dcg*(1+rf)-1 elist = e0 loop j=1..10   series e$j = dcg*(rf-r$j)   elist += e$j endloop matrix V0=I(11) gmm     dcg = delta*cons^(-gamma)     e0 = dcg*(1+rf)-1     e1 = dcg*(rf-r1)     e2 = dcg*(rf-r2)     e3 = dcg*(rf-r3)     e4 = dcg*(rf-r4)     e5 = dcg*(rf-r5)     e6 = dcg*(rf-r6)     e7 = dcg*(rf-r7)     e8 = dcg*(rf-r8)     e9 = dcg*(rf-r9)     e10 = dcg*(rf-r10)     orthog elist ; const     weights V0     params delta gamma end gmm </hansl> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users