Re: [Gretl-users] Hausman-Taylor IV Panel
On Fri, 6 Sep 2013, Artur T. wrote:
I am trying to replicate Baltagi's example of the HT-IV. I wrote
the
following small function, but do not obtain exactly his results (see
txt-file attached).
Actually, I am not so sure whether I've used the correct (transformed)
instruments.
Maybe somebody of you has already dealt with this, and may help me out.
Take a look at
http://users.wfu.edu/cottrell/tmp/htaylor-20130906.zip
It contains an attempt of mine at writing a Hausman-Taylor package
for gretl. In the zipfile, allin.inp is a replication script which
produces results very similar to Baltagi's for the example you're
talking about.
Allin Cottrell