Re: [Gretl-users] Nonlinear panel Instrumental Variable Regression with GRETL

On Thu, 10 Jan 2013, Anutechia Asongu wrote: I must admit, this isn't particulalrly clear. Am I correct in thinking that you need to estimate a model like (I have to use LaTeX, sorry) \[ y_{i,t} = g(X_{i,t}, \theta) + \alpha_i + \epsilon_{i,t} \] where \[ E( g(X_{i,t}, \theta) \cdot \epsilon_{i,t} ) \ne 0 \] but you have instruments such that \[ E(\epsilon_{i,t} | Z_{i,t}) \ne 0 ? \]? And if so, how do you want to treat the individual effect $\alpha_i$? Fixed? Random? ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------