Re: [Gretl-users] gmm
On Tue, 17 Jan 2006, Arnaud Bervas wrote:
Sure, but my question was rather for more general estimators than OLS
or
even 2SLS with instrumental variables. I didn't intend to run a dynamic
panel regression with Arellano and Bond estimator though. Actually, I was
wondering if it would be possible to estimate Euler equations derived from a
CCAPM model for instance.I guess it's not possible to program the implied
numerical optimization with Gretl in its current state.
No, it's not possible at the moment. I suspect you could fool mle or nls
into doing it, but it would definitely require some acrobatics. The good
news is that adding GMM is probably doable in a few weeks (at least 1-step
GMM, but probably 2-step can be done in that timeframe too); the bad news
is that neither Allin (I presume) nor I are able at the moment to tackle
this, because we're rather busy with some new exciting things which
unfortunately have the potential for breaking a lot of existing stuff, so
it's going to take some time (but it'll be worth the wait).
If you can program in C, you're welcome to help ;-)
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti