Re: [Gretl-users] System estimation

On Mon, 27 Aug 2007, Riccardo (Jack) Lucchetti wrote: Ok, folks, attached you will find a script and a dataset to replicate the AIDS example for SAS that you can find at http://support.sas.com/rnd/app/examples/ets/aids/index.htm and http://support.sas.com/rnd/app/examples/ets/elasticity/index.htm Please note: 1) you need CVS gretl for this. 1.6.5 will not do. I haven't tested the windows snapshot. 2) A few things are hardwired to replicate the above example. With a bit of work, though, this script could be turned into a proper function for general AIDS systems. 3) I used a different formula for price elasticities than the one in the SAS example. Differences are minor. 4) In principle, one may want to compute a standard error for the estimated elasticities via the delta method. I couldn't be bothered, but after system estimation the $vcv accessor is there if any of you feels like having a go at this (Franck?). Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti