gretl version 1.9.1
Current session: 2010-11-08 23:29
? set echo on
? set halt_on_error off
? set force_hc off
? set hac_prewhiten off
? set hac_lag 12
? set hac_kernel bartlett
? set bfgs_toler 1e-18
? smpl 1977:3 2008:4
Full data range: 1947:1 - 2010:2 (n = 254)
Current sample: 1977:3 - 2008:4 (n = 126)

? series e = 0
Replaced series e (ID 19)
? list inst = const
Replaced list inst
? loop foreach i d_l_LS d_l_Hwage r_l_RGDP
> inst = inst  $i(-1) $i(-2) $i(-3) $i(-4)
> endloop
? inst = inst d_l_LS(-1) d_l_LS(-2) d_l_LS(-3) d_l_LS(-4)
? inst = inst d_l_Hwage(-1) d_l_Hwage(-2) d_l_Hwage(-3) d_l_Hwage(-4)
? inst = inst r_l_RGDP(-1) r_l_RGDP(-2) r_l_RGDP(-3) r_l_RGDP(-4)

Number of iterations: 3

? loop foreach i  d_l_ma_HR d_l_I_K
> inst = inst  $i(-1) $i(-2) $i(-3)
> endloop
? inst = inst d_l_ma_HR(-1) d_l_ma_HR(-2) d_l_ma_HR(-3)
? inst = inst d_l_I_K(-1) d_l_I_K(-2) d_l_I_K(-3)

Number of iterations: 2

? loop foreach i d_l_GDPDef
> inst = inst  $i(-1) $i(-2) $i(-3) $i(-4)
> endloop
? inst = inst d_l_GDPDef(-1) d_l_GDPDef(-2) d_l_GDPDef(-3) d_l_GDPDef(-4)

Number of iterations: 1

? matrix Z = { inst }
Replaced matrix Z
? matrix V1 = $nobs*inv(Z'Z)
Replaced matrix V1
? matrix V0 = 1000*I(nelem(inst))
Replaced matrix V0
? scalar b_f = 0
Replaced scalar b_f = 0
? scalar b_ls = 0
Replaced scalar b_ls = 0
? scalar b_b = 0
Replaced scalar b_b = 0
? scalar b_hr = 0
Replaced scalar b_hr = 0
? scalar b_hr_b = 0
Replaced scalar b_hr_b = 0
? scalar b_hr_f = 0
Replaced scalar b_hr_f = 0
? scalar b_ik = 0
Replaced scalar b_ik = 0
? V = V0
Replaced matrix V
? gmm	e = d_l_GDPDef - (b_f*d_l_GDPDef(1) + b_ls*d_l_LS + b_hr*d_l_ma_HR + \
  b_ik*d_l_I_K )
? orthog e; inst
? weights V
? params   b_f b_ls b_hr b_ik
? end gmm --iterate
Tolerance = 1e-018
Function evaluations: 183
Evaluations of gradient: 13

Model 23: Iterated GMM, using observations 1977:3-2007:1 (T = 119)
e = d_l_GDPDef - (b_f*d_l_GDPDef(1) + b_ls*d_l_LS + b_hr*d_l_ma_HR + b_ik*d_l_I_K )
HAC standard errors, bandwidth 12 (Bartlett kernel)

              estimate    std. error     z      p-value 
  ------------------------------------------------------
  b_f         0.922018    0.0121410    75.94    0.0000   ***
  b_ls        0.194134    0.0356694     5.443   5.25e-08 ***
  b_hr       -0.0266812   0.0109919    -2.427   0.0152   **
  b_ik        0.0258011   0.00706176    3.654   0.0003   ***

  GMM criterion: Q = 0.0700046 (TQ = 8.33055)
  J test: Chi-square(19) = 8.33055 [0.9830]

? scalar b_f = 0
Replaced scalar b_f = 0
? scalar b_ls = 0
Replaced scalar b_ls = 0
? scalar b_b = 0
Replaced scalar b_b = 0
? scalar b_hr = 0
Replaced scalar b_hr = 0
? scalar b_hr_b = 0
Replaced scalar b_hr_b = 0
? scalar b_hr_f = 0
Replaced scalar b_hr_f = 0
? scalar b_ik = 0
Replaced scalar b_ik = 0
? V = V0
Replaced matrix V
? gmm	e = d_l_GDPDef - (b_f*d_l_GDPDef(1) + b_ls*d_l_LS + b_ik*d_l_I_K)
? orthog e; inst
? weights V
? params   b_f b_ls b_ik
? end gmm --iterate
Tolerance = 1e-018
Function evaluations: 59
Evaluations of gradient: 7

Model 24: Iterated GMM, using observations 1977:3-2007:1 (T = 119)
e = d_l_GDPDef - (b_f*d_l_GDPDef(1) + b_ls*d_l_LS + b_ik*d_l_I_K)
HAC standard errors, bandwidth 12 (Bartlett kernel)

             estimate    std. error     z      p-value 
  -----------------------------------------------------
  b_f        0.937785    0.00970525   96.63    0.0000   ***
  b_ls       0.186822    0.0322290     5.797   6.76e-09 ***
  b_ik       0.0205652   0.00609464    3.374   0.0007   ***

  GMM criterion: Q = 0.0728019 (TQ = 8.66343)
  J test: Chi-square(20) = 8.66343 [0.9865]

? scalar b_f = 0
Replaced scalar b_f = 0
? scalar b_ls = 0
Replaced scalar b_ls = 0
? scalar b_b = 0
Replaced scalar b_b = 0
? scalar b_hr = 0
Replaced scalar b_hr = 0
? scalar b_hr_b = 0
Replaced scalar b_hr_b = 0
? scalar b_hr_f = 0
Replaced scalar b_hr_f = 0
? scalar b_ik = 0
Replaced scalar b_ik = 0
? V = V0
Replaced matrix V
? gmm e = d_l_GDPDef - (b_f*d_l_GDPDef(1) + b_ls*d_l_LS + b_hr*d_l_ma_HR + \
  b_ik*d_l_I_K + b_hr_b*d_l_ma_HR(-1))
? orthog e; inst
? weights V
? params  b_f b_ls b_hr b_hr_b b_ik
? end gmm --iterate
Tolerance = 1e-018