Re: [Gretl-users] R: R: R: R: R: Restriction on model coefficients
On Tue, 9 Feb 2016, Carlo Maria Petrangelo wrote:
So, I do not know if I had to write the commands in the exact way
Professor Cottrell did, but I did it since I do not know the
command and I did not get the ratio of the process (I'm sorry, but
I'm not a math student and in this case I just need the results
and I can't spend time in understanding that).
So I ran the commands below and I got an error:
?wage<-system
? equation w 0 w_1 lnGDPdeflator lnGDPdeflator_1 time;0 w_1 w_2 w_3
lnGDPdeflator_1 lnGDPdeflator_2 lnGDPdeflator_3
? end system
? function matrix my_restrict (const matrix b)
> matrix v = (b[4]-b[2])/(1-b[3]) + 0.012846691
> return v
> end function
? restrict wage
? rfunc = my_restrict
? end restrict
La statistica richiesta non รจ disponibile (Which in english should sounds
like "The statistic request is not available")
OK, here's what's happening. The variant of "restrict" where you
test a nonlinear restriction via the delta method does not support
the production of restricted estimates -- it wants an already
estimated system to which to refer. So something like the following
will work:
<hansl status="incomplete">
# define your restriction function
function matrix nl_restrict (const matrix b)
matrix ret = <whatever>
return ret
end function
# define your equation system, as in
wage <- system
equation <whatever>
end system
# estimate the system
estimate wage method=tsls
# then test the nonlinear restriction
restrict wage
rfunc = nl_restrict
end restrict
</hansl>
This will give you a Wald test of the nonlinear null hypothesis
embedded in your "nl_restrict" function; it will not give you the
restricted estimates. If you really want those, you will have to go
back to the suggestions made by Jack Lucchetti some days ago.
However, you might get "lucky": if the null is soundly rejected then
you won't need the restricted estimates ;-)
Allin Cottrell