Re: [Gretl-users] Nested Logit

As is well known, under normality, by equation ols is the same as system likelihood  in ordinary vars. Stll, I don't know if analogue is true for pvars ((trend)-stationary, case I in Hsiao): Let  we have pvar(1) with only x_it and y_it If estimate dynamic panels for x_it on x_i(t-1) and y_i(t-1) and y_it on x_i(t-1) and y_i(t-1) separately is the same as system gmm, almost only thing to do is organize bootstrap ci for irfs. I think, two step approach for panel cointegration is a good thing, because without good shortcuts the general formula is intractable. Resent survey by Canova: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1507.pdf (Suspect, you know him personally) This semester I have improbable 26 hours of lectures and labs per week, and spring will be completely empty. At last, I am going to finish uk.po. I hope I know how to write heteroscedastic (cross-sectional) logit and  probit and mfx for cross-sectional probit. If it is desirable, I think I can manage functions for them.   --- Оригінальне повідомлення --- Від кого: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; Дата: 6 грудня 2014, 14:04:56 We do have GMM estimators for dynamic linear models for panel data (commonly known as GMM-DIF and GMM-SYS). It could be nice to package some panel cointegration procedure: Pedroni's apporoach was based on two-step estimation, which is clearly easily feasible with the techniques we already have. I'm not aware of more recent methods in widespread use. Ideas, anyone? ------------------------------------------------------- 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