Am 24.11.18 um 10:43 schrieb Laura Magazzini:


I am running a system GMM estimator for dynamic panel data models.

I need to perform some computations after the second step estimation than involve the matrix of instruments, the matrix of regressors (both differenced and level), and the weighting matrix used in computation of the system GMM (obtained from first step estimates).

Is it possible to recover these information after the dpanel command?

Hi, that's a very good question, and currently it seems to me that the answer is no.

What you can get after the dpanel estimation is the list of regressors in $xlist. However, I just checked it and it doesn't include the lagged endogenous variables; maybe it should.

Also, while you can get the list of instruments after a regular 'tsls' estimate via $model.instlist (a little hidden as well, maybe a direct $instlist accessor should be added), for dpanel there is no such thing in the $model bundle AFAICS.

So I guess you pointed out some gaps in gretl that should be filled.

About the weighting matrix: Maybe you could describe in the notation of ch.21 of the guide which matrix exactly you are referring to.

Would also be possible to compute the Ahn & Schmidt non linear panel data estimator in gretl? Should I program it by myself using gmm?

I am almost certain that setting up a gmm block for that estimator is feasible in hansl, but I'm not familiar with it, so I cannot provide any further advice there.