Re: Ang. [Gretl-users] nonlinear IV
Riccardo (Jack) Lucchetti schrieb:
> svetosch(a)gmx.net @ INTERNET skrev 2007-05-22 13:12:59 :
>> I'm interested in applying nonlinear instrumental
variables, like in
>> section 7.6 of the Davidson/MacKinnon book.
>>
I don't have the book with me atm. I suppose it can be done, but would I
be very mistaken in thinking that the gmm command already does what you
want?
No and yes; no you're not mistaken that one could use the gmm command,
but yes you're mistaken that that's what I want :-) I was hoping to
exploit the properties of the special case of nonlinear IV, and spare me
some thinking about the correct formulation of orthogonality conditions.
For example, in Eviews I believe it's possible to specify a nonlinear
equation and a list of instruments and you're done. (I know that Eviews
has a bad reputation with numerical optimization, that's one of the
reasons why I'm looking for alternatives.)
>> AFAIK it's not directly possible in gretl, but what about using the
>> generic maximization routine that was recently added to gretl (IIRC)? Is
>> that ready yet?
>
You already have that. Search the manual for "BFGSmax".
Ah thanks, I knew I had seen that somewhere. But a quick glance over the
TOC didn't provide the correct clue.
I might actually use both the gmm command and write a script using
BFGSmax, and see if they come to the same conclusion. Maybe along the
way I can come up with a function package that wraps one of the commands
to make nonlinear IV more user-friendly in gretl...
thanks,
Sven