Re: [Gretl-users] AR(1) sepcification in TSLS or 3SLS
On Thu, 19 Jul 2012, Trevor Zink wrote:
I'm estimating a simultaneous equations model using TSLS (or
3SLS). However,
my residuals are clearly serially correlated, so I would like to run it in
AR(1) specification. It's not apparent to me how to do that in gretl.
In EViews, one simply adds the regression term 'AR(1)' and it does some
.magic. I believe it just adds lags of the endogenous RHS and LHS variables
to the instruments list, but I'm unable to recreate eviews results with
gretl using the "lags" options in the TSLS dialogue.
I don't know what Eviews does. It'd be interesting to know: however, a
perfectly sane strategy (which may well be what Eviews in fact does) would
be including one or more lags of the LHS variable among the exogenous
variables of your model, that is both as explanatory variables and
instruments.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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