Re: [Gretl-users] Getting the restricted parameters estimates
On Thu, 11 Nov 2010, Henrique Andrade wrote:
I'm estimating a instrumental variable model and I
need to test some restrictions. Please take a look
at my script:
<script>
open australia.gdt
# TSLS
tsls E const PAU PUS ; const PAU(-1) PUS(-1)
restrict
b[2] + b[3] = 1
end restrict
</script>
Everything works fine, but I need the estimated
parameters of the restricted model. Is this
possible?
gretl will do that automatically for you only if you're using OLS.
But you can do it yourself:
y = b1 + b2*x2 + b3*x3 + u
H0: b2 + b3 = 1
=> b3 = 1 - b2
=> y = b1 + b2*x2 + (1 - b2)*x3 + u
=> (y - x3) = b1 + b2*(x2 - x3) + u
So:
y = E - PUS
x = PAU - PUS
tsls y const x ; const <your instruments here>
Allin Cottrell