Re: [Gretl-users] System estimation

On Sat, 25 Aug 2007, Allin Cottrell wrote: > (a) Create a matrix with a column for each equation, and a number > of rows equal to the maximum number of coefficients in any > equation. For each column (equation) enter the coefficients in > the order they're printed, starting from the top, and pad out the > rest of the column with zeros if required. > > (b) More complicated: create an n x g zero matrix, where n is the > total number of distinct variables appearing on the right hand > side of *any* equation and g is the number of equations. Fill in > the appropriate values. Hmm. The way I would think be most useful is to use the vectorisation of (b). This could easily be converted to a matrix via mshape, but would have the added benefit of making it possible to define unambigously the covariance matrix for the parameters, which in turn clears the way if one needs point estimate and variance of some function of the estimated parameters (elasticities in Franck's case).