Re: [Gretl-users] One Step GMM and TSLS

Hi Sven, thanks for the time indeed. My purpose of using a one-step GMM is for robustness test. ------------------------------------------------------------------------ *From:* Sven Schreiber <svetosch(a)gmx.net&gt; *To:* gretl-users(a)lists.wfu.edu *Sent:* Wednesday, October 26, 2011 10:37 AM *Subject:* Re: [Gretl-users] One Step GMM and TSLS I don't understand -- if TSLS does what you want, why do it via GMM? If it doesn't do what you want, why try to get identical results? Or is this a way of testing/checking gretl? -sven Am 10/26/2011 10:35 AM, schrieb Anutechia Asongu: > Yeah Sven, I hope to get numerically identical results. Beyond this > wish, I also hope to get the Sargan OIR test results( which do not > appear in my GMM approach) > > ------------------------------------------------------------------------ > *From:* Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net>> > *To:* gretl-users(a)lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> > *Sent:* Wednesday, October 26, 2011 10:29 AM > *Subject:* Re: [Gretl-users] One Step GMM and TSLS > > So it does run it seems. What's your aim now? To get numerically > identical results, but why? Or are you worried that the results are > "too" different? (In which case presumably it's not a gretl problem, but > a matter of your application.) > > cheers, > sven > > Am 10/26/2011 10:13 AM, schrieb Anutechia Asongu: >> Thanks Sven, I'm tried the option but results are different. >> >> ------------------------------------------------------------------------ >> *From:* Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net> <mailto:svetosch@gmx.net <mailto:svetosch@gmx.net>>> >> *To:* gretl-users(a)lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>> >> *Sent:* Wednesday, October 26, 2011 10:10 AM >> *Subject:* Re: [Gretl-users] One Step GMM and TSLS >> >> Well if it makes any sense in your context, maybe you could restrict the >> sample "manually" (= --no-missing) and then apply GMM. Haven't tested >> this though. >> >> hth, >> sven >> >> Am 10/26/2011 10:00 AM, schrieb Anutechia Asongu: >>> Hi All, >>> Can't one-step GMM that is compatible with TSLS be performed >>> with missing values?. Indeed I'm using TSLS and should like to use >>> one-step GMM for robustness test. Please is there a way one can >>> turn-around this "missing values encountered....." spectre that keeps >>> hunting me? >>> >>> ------------------------------------------------------------------------ >>> *From:* Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it <mailto:r.lucchetti@univpm.it> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> >> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>> >>> *To:* Gretl list <gretl-users(a)lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> > <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>> >> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>>> >>> *Sent:* Wednesday, October 26, 2011 9:27 AM >>> *Subject:* Re: [Gretl-users] Linear Regression >>> >>> On Wed, 26 Oct 2011, Sven Schreiber wrote: >>> >>>> b is the coefficient -- if you have trouble finding it in the output, I >>>> predict some wonderful weeks ahead for you in which you will discover >>>> the beautiful world of econometrics. >>> >>> :-D >>> >>>> As for the different R2, you would need to post an example. This stuff >>>> is so standard that I'm willing to bet a large amount of money that if >>>> you compare the correct numbers, they will be the same. My first guess >>>> is different effective samples. >>> >>> Or perhaps, constant/no constant. >>> >>> >>> Riccardo (Jack) Lucchetti >>> Dipartimento di Economia >>> Università Politecnica delle Marche >>> >>> r.lucchetti(a)univpm.it <mailto:r.lucchetti@univpm.it> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>> >> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>> > <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>> >>> http://www.econ.univpm.it/lucchetti >>> _______________________________________________ >>> Gretl-users mailing list >>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>>> >>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>> >>> >>> >>> _______________________________________________ >>> Gretl-users mailing list >>> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >>> http://lists.wfu.edu/mailman/listinfo/gretl-users >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> > <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>> >> http://lists.wfu.edu/mailman/listinfo/gretl-users >> >> >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>> > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users