Re: [Gretl-users] One Step GMM and TSLS

But robustness in terms of specification means to get *similar* results, not identical. You only want to get *identical* results if you want to check whether the software has implemented it correctly.

Am 10/26/2011 10:40 AM, schrieb Anutechia Asongu: > Hi Sven, thanks for the time indeed. My purpose of using a one-step GMM > is for robustness test. > > ------------------------------------------------------------------------ > *From:* Sven Schreiber <svetosch(a)gmx.net&gt; > *To:* gretl-users(a)lists.wfu.edu > *Sent:* Wednesday, October 26, 2011 10:37 AM > *Subject:* Re: [Gretl-users] One Step GMM and TSLS > > I don't understand -- if TSLS does what you want, why do it via GMM? If > it doesn't do what you want, why try to get identical results? Or is > this a way of testing/checking gretl? > > -sven > > Am 10/26/2011 10:35 AM, schrieb Anutechia Asongu: >> Yeah Sven, I hope to get numerically identical results. Beyond this >> wish, I also hope to get the Sargan OIR test results( which do not >> appear in my GMM approach) >> >> ------------------------------------------------------------------------ >> *From:* Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net>> >> *To:* gretl-users(a)lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> >> *Sent:* Wednesday, October 26, 2011 10:29 AM >> *Subject:* Re: [Gretl-users] One Step GMM and TSLS >> >> So it does run it seems. What's your aim now? To get numerically >> identical results, but why? Or are you worried that the results are >> "too" different? (In which case presumably it's not a gretl problem, but >> a matter of your application.) >> >> cheers, >> sven >> >> Am 10/26/2011 10:13 AM, schrieb Anutechia Asongu: >>> Thanks Sven, I'm tried the option but results are different. >>> >>> ------------------------------------------------------------------------ >>> *From:* Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net> > <mailto:svetosch@gmx.net <mailto:svetosch@gmx.net>>> >>> *To:* gretl-users(a)lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> > <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>> >>> *Sent:* Wednesday, October 26, 2011 10:10 AM >>> *Subject:* Re: [Gretl-users] One Step GMM and TSLS >>> >>> Well if it makes any sense in your context, maybe you could restrict the >>> sample "manually" (= --no-missing) and then apply GMM. Haven't tested >>> this though. >>> >>> hth, >>> sven >>> >>> Am 10/26/2011 10:00 AM, schrieb Anutechia Asongu: >>>> Hi All, >>>> Can't one-step GMM that is compatible with TSLS be performed >>>> with missing values?. Indeed I'm using TSLS and should like to use >>>> one-step GMM for robustness test. Please is there a way one can >>>> turn-around this "missing values encountered....." spectre that keeps >>>> hunting me? >>>> >>>> ------------------------------------------------------------------------ >>>> *From:* Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it > <mailto:r.lucchetti@univpm.it> >> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> >>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>> >>>> *To:* Gretl list <gretl-users(a)lists.wfu.edu > <mailto:gretl-users@lists.wfu.edu> >> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>> >>> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> > <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>>> >>>> *Sent:* Wednesday, October 26, 2011 9:27 AM >>>> *Subject:* Re: [Gretl-users] Linear Regression >>>> >>>> On Wed, 26 Oct 2011, Sven Schreiber wrote: >>>> >>>>> b is the coefficient -- if you have trouble finding it in the output, I >>>>> predict some wonderful weeks ahead for you in which you will discover >>>>> the beautiful world of econometrics. >>>> >>>> :-D >>>> >>>>> As for the different R2, you would need to post an example. This stuff >>>>> is so standard that I'm willing to bet a large amount of money that if >>>>> you compare the correct numbers, they will be the same. My first guess >>>>> is different effective samples. >>>> >>>> Or perhaps, constant/no constant. >>>> >>>> >>>> Riccardo (Jack) Lucchetti >>>> Dipartimento di Economia >>>> Università Politecnica delle Marche >>>> >>>> r.lucchetti(a)univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> >> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>> >>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> >> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>> >>>> http://www.econ.univpm.it/lucchetti >>>> _______________________________________________ >>>> Gretl-users mailing list >>>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >>> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>>> >>>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>>> >>>> >>>> >>>> _______________________________________________ >>>> Gretl-users mailing list >>>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >>>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>> >>> >>> _______________________________________________ >>> Gretl-users mailing list >>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>> >>> >>> >>> >>> _______________________________________________ >>> Gretl-users mailing list >>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >>> http://lists.wfu.edu/mailman/listinfo/gretl-users >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> http://lists.wfu.edu/mailman/listinfo/gretl-users >> >> >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users