Re: [Gretl-users] Fwd: Re: Your paper in JBES 1991

Dear Professor: Sorry for disturb you with this issue, but I send this mail only to update the information and to do a small question. After my request, professor Angrist very kindly has send me some files with a SAS programme to calculate the Angrist-Newet (1991) test. In the pdf_III pages 2 and 3 there is a detailed procedure to get the X2 statistic. I have seen the relevant steps as: 1).-Compute the variables in means deviation. (page 2) 2).-regress a fixed effect model using as "endogenous" variables the means deviation transformation and save the residuals. (page 3) 3).-regress the residuals for each time on lags and leads of all orginal variables (non-transformed) **computation 3sls statistics** (page 3) To estimate the fixed-effect model and the test statistics he uses a SAS procedure based on 3SLS estimation named "PROC SYSLIN SUR VARDEF=n" So, my question is: Gretl has this kind of system estimation? or its fe routine leads would lead to simmilar results (as I think)? Also, looking for the Angrist code, I think the script your provide me to calculate the X2 statistic was correct. But would you mind to see the Angrist code to see if I need to adjust some of the script? Because I found a problem with the number of parameters estimation. Many thanks for your attention and sorry for any inconvenience. José Perles University of Alicante.