From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] Getting the restricted parameters estimates
To: "Gretl list" <gretl-users@lists.wfu.edu>
Date: Friday, November 12, 2010, 6:08 PM

On Thu, 11 Nov 2010, Henrique Andrade wrote:

> I'm estimating a instrumental variable model and I
> need to test some restrictions. Please take a look
> at my script:
>
> <script>
> open australia.gdt
>
> # TSLS
> tsls E const PAU PUS ; const PAU(-1) PUS(-1)
> restrict
> b[2] + b[3] = 1
> end restrict
> </script>
>
> Everything works fine, but I need the estimated
> parameters of the restricted model. Is this
> possible?

gretl will do that automatically for you only if you're using OLS.
But you can do it yourself:

y = b1 + b2*x2 + b3*x3 + u

H0: b2 + b3 = 1

=> b3 = 1 - b2
=> y = b1 + b2*x2 + (1 - b2)*x3 + u
=> (y - x3) = b1 + b2*(x2 - x3) + u

So:

y = E - PUS
x = PAU - PUS
tsls y const x ; const <your instruments here>

Allin Cottrell


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