---

From: Allin Cottrell <cottrell@wfu.edu>
To: Gretl list <gretl-users@lists.wfu.edu>
Sent: Wednesday, October 26, 2011 3:34 PM
Subject: Re: [Gretl-users] One Step GMM and TSLS

On Wed, 26 Oct 2011, Sven Schreiber wrote:

> But robustness in terms of specification means to get *similar* results,
> not identical.
>
> You only want to get *identical* results if you want to check whether
> the software has implemented it correctly.

And in the context of tsls "versus" one-step GMM, one should
get identical results only if the model is just-identified.

Allin


> Am 10/26/2011 10:40 AM, schrieb Anutechia Asongu:
>> Hi Sven, thanks for the time indeed. My purpose of using a one-step GMM
>> is for robustness test.
>>
>> ------------------------------------------------------------------------
>> *From:* Sven Schreiber <svetosch@gmx.net>
>> *To:* gretl-users@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@gmx.net <mailto:svetosch@gmx.net>>
>>> *To:* gretl-users@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@gmx.net <mailto:svetosch@gmx.net>
>> <mailto:svetosch@gmx.net <mailto:svetosch@gmx.net>>>
>>>> *To:* 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 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@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@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@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
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>> <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>>>>
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>>>>>
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>> <mailto:Gretl-users@lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>>>
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--
Allin Cottrell
Department of Economics
Wake Forest University, NC
University, NC

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