Re: [Gretl-users] Two Equations with GMM
On Mon, 26 Oct 2009, Gal Wettstein wrote:
I have been trying to run a GMM regression which has two first
order condition equations. Is this possible with Gretl? If it
is, how can I do so?
Yes you can do it; you can specify as many orthogonality
conditions as you like. Here's a trivial example in which gmm
wraps OLS done both forwards and backwards:
<script>
open data4-1
matrix b = {50, 0.1, 30, 6}
matrix W = I(4) ./ 5
list X1 = const sqft
list X2 = const price
series e1 = 0
series e2 = 0
gmm
e1 = price - b[1] - b[2]*sqft
e2 = sqft - b[3] - b[4]*price
orthog e1 ; X1
orthog e2 ; X2
weights W
params b
end gmm
</script>
Allin Cottrell