bugs&wishlist (was Re: [Gretl-users] gmm usage)
Ok, here are some issues with the GMM dialog:
First what I view as bugs:
1) choosing the "iterated" option doesn't seem to be honored, I get
1-step output.
2) the convergence tolerance setting is shown in the GMM output (good),
but not anymore after saving to the session window and reopening (bad).
3) unrelated to GMM: horizontally resizing the session window leads to
icons dis- and/or reappearing
And some small wishes relating to the GMM GUI:
4) An option to set the tolerance would be nice (simple entry field or
even drop-down list with a range of digits maybe)
5) A checkbox for requesting the $vcv; maybe also an entry field to
assign a name to the matrix that would be created in the session.
And finally, for Gmm in general (script and GUI use):
6) Ability to specify standard options for the (initial) weighting
matrix. AFAICS that would be a choice of two: the identity matrix or the
inverse covariance matrix of the instruments. Of course over-rideable by
an explicit weights command.
thanks,
sven
Allin Cottrell schrieb:
On Fri, 21 Sep 2007, Sven Schreiber wrote:
> now that I have my first gmm estimates produced by gretl, I
> would like to know what else is possible -- I already found out
> that "restrict" apparently is _im_possible. What about saving
> the estimated coefficients or covariance matrix for further
> (scripting) use? (I have read the gmm chapter but couldn't find
> anything.)
You already have the coefficients, since you defined them in the
first place (and they are modified in the course of estimation).
The covariance matrix is obtained in the usual way:
matrix V = $vcv
The usual "restrict" apparatus can't apply, because we can't
assume that the parameters enter the model linearly.
You should, however, be able to save the value of the GMM
criterion function, so you can cook up your own restriction test
-- but if I'm not mistaken, you can't at present.
Allin.
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