Re: [Gretl-users] AR(1) sepcification in TSLS or 3SLS
On 07/20/2012 04:32 PM, Rodrigo Alfaro Arancibia wrote:
2012/7/20 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>:
>> 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...") :-)
-sven