Re: [Gretl-users] Saved results from dpanel

Thank you Sven As for the weighting matrix, I would like to access the two-step version of the AN matrix in formula (21.5) from the Guide. in the formula of AN after (21.5) the matrix H* is considered for computation, so that, as far as I understand, this is the matrix used to obtain first step results. The two-step version would replace the matrix H* with cross-products of first-step residuals (residuals estimated on the basis of first-step coefficients). I hope this clarifies what I was referring to. However,as the matrix of instruments is not available, I would need to use a different approach. Kind regards Laura Date: Sat, 24 Nov 2018 14:03:46 +0100 From: Sven Schreiber <svetosch(a)gmx.net&gt; To: gretl-users(a)lists.wfu.edu Subject: Re: [Gretl-users] Saved results from dpanel Message-ID: <58f8ce83-c5ec-a7ce-2642-9dfbe58adecc(a)gmx.net&gt; Content-Type: text/plain; charset="windows-1252"; Format="flowed" Am 24.11.18 um 10:43 schrieb Laura Magazzini: Hi, that's a very good question, and currently it seems to me that the answer is no. What you can get after the dpanel estimation is the list of regressors in $xlist. However, I just checked it and it doesn't include the lagged endogenous variables; maybe it should. Also, while you can get the list of instruments after a regular 'tsls' estimate via $model.instlist (a little hidden as well, maybe a direct $instlist accessor should be added), for dpanel there is no such thing in the $model bundle AFAICS. So I guess you pointed out some gaps in gretl that should be filled. About the weighting matrix: Maybe you could describe in the notation of ch.21 of the guide which matrix exactly you are referring to. I am almost certain that setting up a gmm block for that estimator is feasible in hansl, but I'm not familiar with it, so I cannot provide any further advice there. cheers, sven