Hi Sven, thanks for the time indeed. My purpose of using a one-step GMM is for robustness test.


From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Sent: Wednesday, October 26, 2011 10:37 AM
Subject: Re: [Gretl-users] One Step GMM and TSLS

I don't understand -- if TSLS does what you want, why do it via GMM? If
it doesn't do what you want, why try to get identical results? Or is
this a way of testing/checking gretl?

-sven

Am 10/26/2011 10:35 AM, schrieb Anutechia Asongu:
> Yeah Sven, I hope to get numerically identical results. Beyond this
> wish, I also hope to get the Sargan OIR test results( which do not
> appear in my GMM approach)
>
> ------------------------------------------------------------------------
> *From:* Sven Schreiber <svetosch@gmx.net>
> *To:* gretl-users@lists.wfu.edu
> *Sent:* Wednesday, October 26, 2011 10:29 AM
> *Subject:* Re: [Gretl-users] One Step GMM and TSLS
>
> So it does run it seems. What's your aim now? To get numerically
> identical results, but why? Or are you worried that the results are
> "too" different? (In which case presumably it's not a gretl problem, but
> a matter of your application.)
>
> cheers,
> sven
>
> Am 10/26/2011 10:13 AM, schrieb Anutechia Asongu:
>> Thanks Sven, I'm tried the option but results are different.
>>
>> ------------------------------------------------------------------------
>> *From:* Sven Schreiber <svetosch@gmx.net <mailto:svetosch@gmx.net>>
>> *To:* gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>
>> *Sent:* Wednesday, October 26, 2011 10:10 AM
>> *Subject:* Re: [Gretl-users] One Step GMM and TSLS
>>
>> Well if it makes any sense in your context, maybe you could restrict the
>> sample "manually" (= --no-missing) and then apply GMM. Haven't tested
>> this though.
>>
>> hth,
>> sven
>>
>> Am 10/26/2011 10:00 AM, schrieb Anutechia Asongu:
>>> Hi All,
>>>            Can't one-step GMM that is compatible with TSLS be performed
>>> with missing values?. Indeed I'm using TSLS and should like to use
>>> one-step GMM for robustness test. Please is there a way one can
>>> turn-around this "missing values encountered....." spectre that keeps
>>> hunting me?
>>>
>>> ------------------------------------------------------------------------
>>> *From:* Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it
> <mailto:r.lucchetti@univpm.it>
>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>
>>> *To:* Gretl list <gretl-users@lists.wfu.edu
> <mailto:gretl-users@lists.wfu.edu>
>> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>>
>>> *Sent:* Wednesday, October 26, 2011 9:27 AM
>>> *Subject:* Re: [Gretl-users] Linear Regression
>>>
>>> On Wed, 26 Oct 2011, Sven Schreiber wrote:
>>>
>>>> b is the coefficient -- if you have trouble finding it in the output, I
>>>> predict some wonderful weeks ahead for you in which you will discover
>>>> the beautiful world of econometrics.
>>>
>>> :-D
>>>
>>>> As for the different R2, you would need to post an example. This stuff
>>>> is so standard that I'm willing to bet a large amount of money that if
>>>> you compare the correct numbers, they will be the same. My first guess
>>>> is different effective samples.
>>>
>>> Or perhaps, constant/no constant.
>>>
>>>
>>> Riccardo (Jack) Lucchetti
>>> Dipartimento di Economia
>>> UniversitÓ Politecnica delle Marche
>>>
>>> r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>
>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>
>>> http://www.econ.univpm.it/lucchetti
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