Hi! I am running a system GMM estimator for dynamic panel data models. I need to perform some computations after the second step estimation than involve the matrix of instruments, the matrix of regressors (both differenced and level), and the weighting matrix used in computation of the system GMM (obtained from first step estimates). Is it possible to recover these information after the dpanel command?

Would also be possible to compute the Ahn & Schmidt non linear panel data estimator in gretl? Should I program it by myself using gmm?

On Sat, 24 Nov 2018, Laura Magazzini wrote: > Hi! > > I am running a system GMM estimator for dynamic panel data models. > > I need to perform some computations after the second step estimation than > involve the matrix of instruments, the matrix of regressors (both > differenced and level), and the weighting matrix used in computation of the > system GMM (obtained from first step estimates). > > Is it possible to recover these information after the dpanel command? In normal circumstances, the info you need is not useful to the user and I'd avoid storing it into the $model bundle because typically these are very large matrices. On the other hand, it would be very time consuming for the user who needs those matrices to reconstruct them in hansl, so Laura's request is perfectly legitimate IMO. So, I'm attaching a patch which introduces an option to the dpanel command named --keep-extra. After applying the patch, if you run the dpanel command with the --keep-extra option, you get two new elements in the $model bundle, named "Z" (the instrument matrix, transposed) and "A" (the weights). I haven't pushed this to git yet because I this this is a rather sensitive change and I'd like Allin to approve it (especially because there's a fair chance I've f****d up memory allocation, as I regularly do when I write C code).

On Mon, 26 Nov 2018, Riccardo (Jack) Lucchetti wrote: > the patch, if you run the dpanel command with the --keep-extra > option, you get two new elements in the $model bundle, named "Z" (the > instrument matrix, transposed) and "A" (the weights). > Perhaps Laura could tell us if the new "A" and "Z" matrices in the $model bundle -- after estimation with "dpanel" and the --keep-extra option -- do the job for her.

On Tue, 27 Nov 2018, Sven Schreiber wrote: > Could we please have different and more self-explanatory names > instead of A and Z here? Something like ABweights and/or GMMinsts or > something. Done and pushed. The new names are "wgtmat" and "GMMinst". I also added a short section to Chapter 20 of the user's guide.