Re: [Gretl-users] DPANEL questions concerning accessors, a collapse switch and arguments

>> Have you already thought about incorporating a 'collapse' switch? > > Which would do what, exactly? The 'collapse' switch is, as far as I know, a clever invention by the Stata-oriented guys (I believe Roodman himself). In a nutshell, it's a way to reduce the number of over-identifying restrictions without sacrificing the main idea, so to speak. For example, imagine you have a DIF-GMM estimator with T=4: you could use 3 orthogonality conditions a. \Delta e_{3,i} y_{1,i} b. \Delta e_{4,i} y_{1,i} c. \Delta e_{4,i} y_{2,i} or you could put together a. and c. as \Delta e_{t,i} y_{t-2,i} and go down to 2. This means, in practice, that certain matrices get 'compressed' by squeezing out zeros. > From a statistical point of view, this amounts to making some extra assumptions on the variance of disturbances, compared to ordinary GMM.

> From a practical point of view, this is often innocuous, although it leads to different results in practice, where the differences should be small for very large N if the model is well specified. From the regression monkey's point of view, this is a great invention, because it multiplies the number of legitimate ways in which you can run the same model, thus giving you a few more chances to have the little stars in the output appear exactly where you want them.

------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users