Re: [Gretl-users] AR(1) sepcification in TSLS or 3SLS

On Fri, 20 Jul 2012, Rodrigo Alfaro Arancibia wrote: > Please note from EViews' manual: "EViews estimates the model as a > nonlinear regression model (...), require specification of additional > instruments to satisfy the instrument order condition for the transformed > specification. By default, the first-stage instruments employed in TSLS > are > formed as if one were running Cochrane-Orcutt using Fair’s prescription." > > Therefore you cannot replicate the results using 2SLS in gretl or > other software given that 2SLS are linear models. The fact that EViews > does a nonlinear regression is rooted in the Cochrane-Orcutt procedure > which, in the standard LS context, imposes constraints on the > coefficients. You _can_ replicate them in gretl: actually, from what you describe you have the choice of using a) the nls command b) the mle command c) the gmm command Only, it's a lot more work. But if you had the absolute necessity of replicating Eviews' algorithm, it's perfectly possible.