Re: [Gretl-users] System estimation
On Sat, 25 Aug 2007, Allin Cottrell wrote:
On Fri, 24 Aug 2007, Franck Nadaud wrote:
> I would like to know if it is possible in system estimation to
> recover all the coefficients and standards errors, because i
> have to compute the AIDS elasticities.
Right now, it's not. But I should add that. The question is, how
should one define the matrix of coefficients for an arbitrary set
of equations? Two possibilities occur to me:
(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).
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti