Re: [Gretl-users] gmm

On Thu, 12 Jan 2006, Arnaud Bervas wrote: Not yet. That said, I have a question: what specifically do you need gmm for? "Generic" GMM estimation is more a theoretical concept (ie something you use to devise estimators an establish their properties) than an applied one. The computational machinery behind the estimation of dynamic panel data models is very different from what you need to estimate Euler equations. In both cases, the theory says you use a GMM estimator; in practice, the former is a slight generalisation of instrumental variables, the latter requires heavy numerical optimisation. OLS is a GMM estimator too, and gretl does that rather well :-) Riccardo `Jack' Lucchetti Dipartimento di Economia Università Politecnica delle Marche jack(a)dea.unian.it http://www.econ.univpm.it/lucchetti