Re: [Gretl-users] R: Restriction on model coefficients
On Thu, 4 Feb 2016, Sven Schreiber wrote:
Am 04.02.2016 um 19:39 schrieb Carlo Maria Petrangelo:
> Instead, I need that in the estimation of the equation (the one estimated in
> point 1), the coefficients would be estimated using the restriction, that is
> using the restriction during the estimation.
>
You're right that with tsls the restricted estimates aren't printed; I
wasn't aware of this and I don't know why. (It's mentioned in the docs:
"If the original model was estimated via OLS then the restricted
coefficient estimates are printed;", but that doesn't explain why. Maybe
Allin can elaborate.)
You can get hold of the restricted estimates by treating it as a
one-equation "system":
<hansl>
tsmod <- system
equation y 0 X ; 0 Z
end system
restrict tsmod
b2 - b3 = 0 # or whatever
end restrict
estimate tsmod method=tsls
</hansl>
Allin