Re: [Gretl-users] simultaneous equations in gretl [2]
Allin:
I was cleaning up my email and ran across this exchange. Since you told
me about this, I have been using various combinations of system,
restrict, and coeffsum to very good effect. GRETL just continues to impress!
Wilson
Wilson Mixon wrote:
Impressive.
Thanks,
Wilson Mixon
Allin Cottrell wrote:
> Sorry, I forgot to mention: I have revamped the "system" command and
> added a new command, "estimate", so that one can define an equation
> system then estimate it using various methods.
>
> I'm attaching the latest revision of the gretl demo file klein.inp,
> which provides an example of how this works.
>
> ------------------------------------------------------------------------
>
> # Klein's "Model 1" (1950)
> open klein.gdt
> genr W = Wp + Wg
> genr A = t - 1931
> genr P1 = P(-1)
> genr X1 = X(-1)
> # Equation-by-equation OLS
> ols C 0 P P1 W ols I 0 P P1 K1
> ols Wp 0 X X1 A
> # Equation-by-equation TSLS
> tsls C 0 P P1 W ; 0 G T A Wg P1 K1 X1
> tsls I 0 P P1 K1 ; 0 G T A Wg P1 K1 X1
> tsls Wp 0 X X1 A ; 0 G T A Wg P1 K1 X1
> # Now set the model up as a system
> system name="Klein Model 1"
> equation C 0 P P1 W equation I 0 P P1 K1
> equation Wp 0 X X1 A
> identity P = X - T - Wp
> identity W = Wp + Wg
> identity X = C + I + G
> endog C I Wp P W X
> end system
> # and estimate it in various ways
> estimate "Klein Model 1" method=3sls
> estimate "Klein Model 1" method=fiml
> estimate "Klein Model 1" method=liml
>
>
>
>
> ------------------------------------------------------------------------
>
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