On Tue, 22 May 2007, andreas.karlsson(a)ltv.se wrote:
svetosch(a)gmx.net @ INTERNET skrev 2007-05-22 13:12:59 :
> Hi fellow gretl users,
>
> I'm interested in applying nonlinear instrumental variables, like in
> section 7.6 of the Davidson/MacKinnon book.
>
I don't have the book with me atm. I suppose it can be done, but would I
be very mistaken in thinking that the gmm command already does what you
want?
> AFAIK it's not directly possible in gretl, but what about
using the
> generic maximization routine that was recently added to gretl (IIRC)? Is
> that ready yet?
A generic minimization (or maximization) command in gretl would really be
welcome. What algorithm will it use? Newton-Raphson?
You already have that. Search the manual for "BFGSmax".
BTW, when talking about gretl commands, a function "mode()"
that calcualtes
the mode, i.e. the value that has the largest number of observations, and a
function "ceiling()" that computes the ceiling function, would be a welcome
addition to be used with the "genr" command.
ceiling() whould be easy to do. However, with a bit of dexterity you can
coerce the "int" function to do what you want; for example:
nulldata 100
x = int(uniform()*6)/2
f = int(x)
c = (x-f) ? f+1 : f
As for "mode()", I'm all for it, provided we find a sensible way to handle
multi-modal variables.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti