[Gretl-users] Hausman-Taylor IV Panel

Hi all, I am trying to replicate Baltagi's example of the HT-IV. I wrote the following small function, but do not obtain exactly his results (see txt-file attached). Actually, I am not so sure whether I've used the correct (transformed) instruments. Maybe somebody of you has already dealt with this, and may help me out. <hansl> open Baltagi_schooling_wage.gdt --quiet series EXP2 = EXP_^2 # List definition list X1 = OCC_ SOUTH_ SMSA_ IND_ #TV exogeneous list Z1 = FEM_ BLK_ #Time-invariant exogeneous list X2 = EXP_ EXP2 WKS_ MS_ UNION_ #TV endogenoeus list Z2 = ED_ #TIV endogenoeus function void xthtaylor (series Y "dependent", list X1 "TV exog.", list Z1 "TIV exog.", list X2 "TV endog.", list Z2 "TIV endog.") # X2(i,t) are instrumented by their deviation from individual means xbar2(i) list X2inst = null loop foreach i X2 -q series dev_$i =X2.$i - pmean(X2.$i) X2inst += dev_$i endloop # Z2(i) are instrumented by the individual avg of X1(i,t) list Z2inst = null loop foreach i X1 -q series m_$i = pmean(X1.$i) Z2inst += m_$i endloop #TSLS - Hausman-Taylor (HT) tsls Y const X1 X2 Z1 Z2 ; const X1 X2inst Z1 Z2inst --no-tests end function xthtaylor(LWAGE,X1,Z1,X2,Z2) <\hansl>