Re: [Gretl-users] R: Restriction on model coefficients
Am 04.02.2016 um 19:39 schrieb Carlo Maria Petrangelo:
Instead, I need that in the estimation of the equation (the one
estimated in
point 1), the coefficients would be estimated using the restriction, that is
using the restriction during the estimation.
You're right that with tsls the restricted estimates aren't printed; I
wasn't aware of this and I don't know why. (It's mentioned in the docs:
"If the original model was estimated via OLS then the restricted
coefficient estimates are printed;", but that doesn't explain why. Maybe
Allin can elaborate.) Similarly with the "--full" option which only
applies to OLS (and VECMs, but that's a different story). So you also
cannot use the $coeff accessor after the restriction.
One not very satisfactory workaround would be to split the two stages of
two-stage-least-squares, so that you get the second stage mechanically
as OLS where you can retrieve the restricted results. But this is really
lame I admit.
sorry,
sven