Thanks Sven


From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Sent: Wednesday, October 26, 2011 10:49 AM
Subject: Re: [Gretl-users] One Step GMM and TSLS

But robustness in terms of specification means to get *similar* results,
not identical.

You only want to get *identical* results if you want to check whether
the software has implemented it correctly.

-s

Am 10/26/2011 10:40 AM, schrieb Anutechia Asongu:
> Hi Sven, thanks for the time indeed. My purpose of using a one-step GMM
> is for robustness test.
>
> ------------------------------------------------------------------------
> *From:* Sven Schreiber <svetosch@gmx.net>
> *To:* gretl-users@lists.wfu.edu
> *Sent:* Wednesday, October 26, 2011 10:37 AM
> *Subject:* Re: [Gretl-users] One Step GMM and TSLS
>
> I don't understand -- if TSLS does what you want, why do it via GMM? If
> it doesn't do what you want, why try to get identical results? Or is
> this a way of testing/checking gretl?
>
> -sven
>
> Am 10/26/2011 10:35 AM, schrieb Anutechia Asongu:
>> Yeah Sven, I hope to get numerically identical results. Beyond this
>> wish, I also hope to get the Sargan OIR test results( which do not
>> appear in my GMM approach)
>>
>> ------------------------------------------------------------------------
>> *From:* Sven Schreiber <svetosch@gmx.net <mailto:svetosch@gmx.net>>
>> *To:* gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>
>> *Sent:* Wednesday, October 26, 2011 10:29 AM
>> *Subject:* Re: [Gretl-users] One Step GMM and TSLS
>>
>> So it does run it seems. What's your aim now? To get numerically
>> identical results, but why? Or are you worried that the results are
>> "too" different? (In which case presumably it's not a gretl problem, but
>> a matter of your application.)
>>
>> cheers,
>> sven
>>
>> Am 10/26/2011 10:13 AM, schrieb Anutechia Asongu:
>>> Thanks Sven, I'm tried the option but results are different.
>>>
>>> ------------------------------------------------------------------------
>>> *From:* Sven Schreiber <svetosch@gmx.net <mailto:svetosch@gmx.net>
> <mailto:svetosch@gmx.net <mailto:svetosch@gmx.net>>>
>>> *To:* gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>
> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>
>>> *Sent:* Wednesday, October 26, 2011 10:10 AM
>>> *Subject:* Re: [Gretl-users] One Step GMM and TSLS
>>>
>>> Well if it makes any sense in your context, maybe you could restrict the
>>> sample "manually" (= --no-missing) and then apply GMM. Haven't tested
>>> this though.
>>>
>>> hth,
>>> sven
>>>
>>> Am 10/26/2011 10:00 AM, schrieb Anutechia Asongu:
>>>> Hi All,
>>>>            Can't one-step GMM that is compatible with TSLS be performed
>>>> with missing values?. Indeed I'm using TSLS and should like to use
>>>> one-step GMM for robustness test. Please is there a way one can
>>>> turn-around this "missing values encountered....." spectre that keeps
>>>> hunting me?
>>>>
>>>> ------------------------------------------------------------------------
>>>> *From:* Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it
> <mailto:r.lucchetti@univpm.it>
>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>
>>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>>
>>>> *To:* Gretl list <gretl-users@lists.wfu.edu
> <mailto:gretl-users@lists.wfu.edu>
>> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>
>>> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>
> <mailto:gretl-users@lists.wfu.edu <mailto:gretl-users@lists.wfu.edu>>>>
>>>> *Sent:* Wednesday, October 26, 2011 9:27 AM
>>>> *Subject:* Re: [Gretl-users] Linear Regression
>>>>
>>>> On Wed, 26 Oct 2011, Sven Schreiber wrote:
>>>>
>>>>> b is the coefficient -- if you have trouble finding it in the output, I
>>>>> predict some wonderful weeks ahead for you in which you will discover
>>>>> the beautiful world of econometrics.
>>>>
>>>> :-D
>>>>
>>>>> As for the different R2, you would need to post an example. This stuff
>>>>> is so standard that I'm willing to bet a large amount of money that if
>>>>> you compare the correct numbers, they will be the same. My first guess
>>>>> is different effective samples.
>>>>
>>>> Or perhaps, constant/no constant.
>>>>
>>>>
>>>> Riccardo (Jack) Lucchetti
>>>> Dipartimento di Economia
>>>> UniversitÓ Politecnica delle Marche
>>>>
>>>> r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>
>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>
>>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>
>> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>
> <mailto:r.lucchetti@univpm.it <mailto:r.lucchetti@univpm.it>>>>
>>>> http://www.econ.univpm.it/lucchetti
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