Re: [Gretl-users] AR(1) sepcification in TSLS or 3SLS

>>>> Therefore you cannot replicate the results using 2SLS in gretl or >>>> other software given that 2SLS are linear models. The fact that EViews >>>> does a nonlinear regression is rooted in the Cochrane-Orcutt procedure >>>> which, in the standard LS context, imposes constraints on the >>>> coefficients. >>> >>> You _can_ replicate them in gretl: actually, from what you describe you >>> have >>> the choice of using >>> >>> a) the nls command >>> b) the mle command >>> c) the gmm command >>> >>> Only, it's a lot more work. But if you had the absolute necessity of >>> replicating Eviews' algorithm, it's perfectly possible. >> >> >> Ok, you can do it, but it requires more than using the tsls command. >> > > Jack tends to get nervous when he reads "cannot be done in gretl" so he > also tends to skip over the fine print (which in this case was "... > using 2SLS...") :-) I hereby officially appoint Mr. Sven Schreiber as my authorised spokesman. :-)