Re: [Gretl-users] Restriction on model coefficients
Am 04.02.2016 um 16:57 schrieb Riccardo (Jack) Lucchetti:
On Thu, 4 Feb 2016, Carlo Maria Petrangelo wrote:
> Hello everyone,
>
> I need to estimate an equation with tsls. This equation has a
> restriction on
> parameters. The restriction has inside itself values coming from the
> estimation parameters of another equation and it is the following:
> b3=[a1/(1-a2)](1-b2)-b1, on which "a" indicate a parameter of the first
> equation (already estimated) and "b" indicate a parameter of the second
> equation (which has to be estimated with tsls) and the numbers
> indicate the
> parameter associated to a regressor.
>
> How can I estimated the second equation once I have estimated the first.
Premise: for this kind of things, your best bet is ALWAYS two estimate
the two equations jointly. Otherwise, you have to make a few adjustments
to you standard errors which are not only boring to compute, but also
prone to sizeable finite-sample bias.
While Jack's answer is econometrically the proper one, it could be that
it's not the one you wanted to hear. If you could live without the
correct standard errors and are really only interested in the point
estimates, then technically it's easy to save (or write down) the values
a1 and a2 and plug them into the restriction concerning b1 and b2,
especially since that restriction seems to be linear, given a1 and a2.
So, please read the documentation of the "restrict" command, and report
back if anything remains unclear.
good luck,
sven