Re: [Gretl-users] GMM giving strange error messages
On Wed, 4 Nov 2009, Gal Wettstein wrote:
I am having some problems with GMM. I try to run the following
script:
# initializations go here
series e1 = 0
series e2 = 0
set bfgs_toler 1e-7
set lbfgs 1
matrix W = I(10)
scalar beta = 0.95
scalar lambda = 0.05
scalar sigma = 1.05
scalar gamma = 0.1
scalar phi = 0.3
scalar theta = 1
list IVs = const R_DETREND(-1) CONSUMPTION_GRO(-1) GDP_GROWTH(-1)
LN_RATIO_DETREN(-1)
# list IVs = const R_DETREND(-1) R_DETREND(-2) R_DETREND(-3)
CONSUMPTION_GRO(-1) CONSUMPTION_GRO(-2) CONSUMPTION_GRO(-3) GDP_GROWTH(-1)
GDP_GROWTH(-2) GDP_GROWTH(-3) LN_RATIO_DETREN(-1) LN_RATIO_DETREN(-2)
LN_RATIO_DETREN(-3)
gmm
e1 = (R_DETREND * beta * (((CONS_DETREND(+1) - lambda * GDP_DETREND(+1)) ^
((-1) * (sigma))) * ((CONS_DETREND - lambda * GDP_DETREND) ^ (gamma)) *
(LABOR_DETREND(+1) ^ phi) + (gamma * beta * ((CONS_DETREND(+2) - lambda *
GDP_DETREND(+2)) ^ (1 - sigma)) * ((CONS_DETREND(+1) - lambda *
GDP_DETREND(+1)) ^ (gamma - 1)) * (LABOR_DETREND(+2) ^ phi)) / (1-sigma)) -
(((CONS_DETREND - lambda * GDP_DETREND) ^ ((-1) * (sigma))) *
((CONS_DETREND(-1) - lambda * GDP_DETREND(-1)) ^ (gamma)) * (LABOR_DETREND ^
phi) + (gamma * beta * ((CONS_DETREND(+1) - lambda * GDP_DETREND(+1)) ^ (1 -
sigma)) * ((CONS_DETREND - lambda * GDP_DETREND) ^ (gamma - 1)) *
(LABOR_DETREND(+1) ^ phi)) / (1-sigma)))
e2 = (phi * ((CONS_DETREND - lambda * GDP_DETREND) ^ (1 - sigma)) *
((CONS_DETREND(-1) - lambda * GDP_DETREND(-1)) ^ gamma) * (LABOR_DETREND ^
(phi-1))) / (1-sigma) + (((CONS_DETREND - lambda * GDP_DETREND) ^ ((-1) *
sigma)) * ((CONS_DETREND(-1) - lambda * GDP_DETREND(-1)) ^ gamma) *
(LABOR_DETREND ^ phi) + (beta * gamma * beta * ((CONS_DETREND(+1) - lambda *
GDP_DETREND(+1)) ^ (1-sigma)) * ((CONS_DETREND - lambda * GDP_DETREND) ^
(gamma - 1)) * (LABOR_DETREND(+1) ^ phi)) / (1 - sigma)) * (-theta) * ((1 -
LABOR_DETREND) ^ (theta - 1)))
I'm sorry, but this is totally unreadable, and in fact has a
syntax error (unmatched trailing parenthesis in the definition of
e2).
If you'd like feedback on your model, please:
* break up these huge chunks: define some intermediate variables
as components of e1 and e2 (e.g. e1 = e1a - e1b)
* lose all the confusing parentheses, for example
x^((-1) * (sigma)) -> x^(-sigma)
(and note that '^' has higher precedence than '*', which allows
you to delete a few dozen parentheses).
* use terse variable names in this sort of expression so that the
math is clear, e.g. R_DETREND -> r, CONSUMPTION_GRO -> dc and so
on.
That said, one hint is to drop the "--iterate" flag to gmm and add
the "--verbose" flag.
Allin Cottrell