Re: [Gretl-users] gmm usage
On Fri, 21 Sep 2007, Sven Schreiber wrote:
now that I have my first gmm estimates produced by gretl, I
would like to know what else is possible -- I already found out
that "restrict" apparently is _im_possible. What about saving
the estimated coefficients or covariance matrix for further
(scripting) use? (I have read the gmm chapter but couldn't find
anything.)
You already have the coefficients, since you defined them in the
first place (and they are modified in the course of estimation).
The covariance matrix is obtained in the usual way:
matrix V = $vcv
The usual "restrict" apparatus can't apply, because we can't
assume that the parameters enter the model linearly.
You should, however, be able to save the value of the GMM
criterion function, so you can cook up your own restriction test
-- but if I'm not mistaken, you can't at present.
Allin.