Re: [Gretl-users] gmm usage
Allin Cottrell schrieb:
On Fri, 21 Sep 2007, Sven Schreiber wrote:
> now that I have my first gmm estimates produced by gretl, I
> would like to know what else is possible -- I already found out
> that "restrict" apparently is _im_possible. What about saving
> the estimated coefficients or covariance matrix for further
> (scripting) use? (I have read the gmm chapter but couldn't find
> anything.)
You already have the coefficients, since you defined them in the
first place (and they are modified in the course of estimation).
Right, so that was sort of a stupid question...
The covariance matrix is obtained in the usual way:
matrix V = $vcv
ok good to know; actually I just properly realized a minute ago that GMM
is also available in a dialog window, not just via scripts... let's see
what that gives...
The usual "restrict" apparatus can't apply, because we can't
assume that the parameters enter the model linearly.
You should, however, be able to save the value of the GMM
criterion function, so you can cook up your own restriction test
-- but if I'm not mistaken, you can't at present.
yes that would be nice.
-sven