Hi again,

so, is it 'dz'?

I've got another question to an example of the user-guide:
<hansl>
open abdata.gdt
dpanel 2 ; n X ; GMM(w,2,3) GMM(k,2,3) Ivars --time --two-step --dpd
# equal to
dpanel 2 ; n X ; GMM(w,2,3) GMM(k,2,3) GMM(w_1,2,2) Ivars --time --two-step --dpd
<hansl>

Does gretl automatically add these instruments or is by construction of the estimation procedure already included?

Cheers
Lepn

25.05.2013 16:31, Pindar:

Hi there,

I have a question concerning p.146 in the user-guide:

Is this correct?

"dz = diff(z)
dpanel 1 ; y dz
dpanel 1 ; y dz ; GMM(z,0,0)"

Or should it be
dpanel 1 ; y dz ; GMM(dz,0,0)

It the first one is right, then it's because the differences of the instruments are computed after using them as instruments,
while in the latter specification they are not altered any more.

I tried both variants in a few examples and found that the results of

dpanel 1 ; y dz
dpanel 1 ; y dz ; GMM(dz,0,0)

are very similar, but not the same, while

dpanel 1 ; y dz
dpanel 1 ; y dz ; GMM(z,0,0)

gives 'totally' different coeffietints and especially s.e. for dz.

I think it's quite crucial to understand this methodology and hence I'd be happy for clarification.

Cheers
Leon