On Tue, 15 Nov 2011, Qi Shi wrote: There are a few problems with your script, but the most important one is that once you have defined a series as a function of a parameter, the contents of that series don't change just because you change the parameter's value; that is the way a spreadsheet works, not a programming language like hansl. For example: after <hansl> scalar delta=0.5 scalar gamma=0.5 series e0=delta*cons^(-gamma)*(1+rf)-1 </hansl> the contents of e0 are set to e0 1959:02 -0.4993965 1959:03 -0.5020569 1959:04 -0.4966915 1959:05 -0.5009903 1959:06 -0.4981722 1959:07 -0.4983170 1959:08 -0.4984926 1959:09 -0.4996040 1959:10 -0.4966996 1959:11 -0.4982402 ... Then, the parameters delta and gamma are iteratively changed within the gmm block, but that doesn't change the contents of e0 (and e1, e2 etc, for that matter). To replicate Verbeek's example, take a look at the script below: <hansl> function series mrate(series cons, scalar discrat, scalar riskad) return discrat * cons ^ (-riskad) end function open pricing.gdt --quiet set force_hc on # not terribly correct, but # necessary to replicate exactly # build the instruments list exlist = null loop i=1..10 --quiet series ex$i = r$i - rf exlist += ex$i end loop series gf = 1 + rf scalar d = 0.5 scalar g = 10 matrix V = I(11) series m oc1 # initialize the series with the # orthogonality conditions /* first step */ gmm series m = mrate(cons,d,g) series oc1 = m * gf - 1 orthog oc1 ; const orthog m ; exlist weights V params d g end gmm /* iterated GMM */ gmm series m = mrate(cons,d,g) series oc1 = m * gf - 1 orthog m ; exlist orthog oc1 ; const weights V params d g end gmm --iterate </hansl> Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti

[I see that Jack Lucchetti has replied on this since I started writing, but I'll post it anyway; having two methods to look at might be useful.] On Tue, 15 Nov 2011, Qi Shi wrote: There are two problems here, one with gretl and one with your script. The gretl problem: although the manual states that you can use a list of series as the left-hand term in a GMM orthogonality condition, apparently that was never hooked up properly. This is now fixed in CVS. The problem with your script is that you never use delta and gamma to recompute your series e0 to e10 -- so gretl will find a gradient of zero and give you back your initial values for the parameters. Here's a script that replicates the Verbeek table. I've chosen to organize the data into matrices rather than using the list approach. <hansl> open pricing.gdt set force_hc on matrix R = zeros($nobs, 11) R[,1] = 1 + rf loop j=1..10 --quiet R[,j+1] = rf - r$j endloop scalar delta=0.5 scalar gamma=0.5 matrix E = {delta * cons^(-gamma)} .* R matrix V0 = I(11) gmm E = {delta * cons^(-gamma)} .* R E[,1] -= 1 orthog E ; const weights V0 params delta gamma end gmm gmm E = {delta * cons^(-gamma)} .* R E[,1] -= 1 orthog E ; const weights V0 params delta gamma end gmm --iterate </hansl> Allin Cottrell

Thanks Allin and Jack very much. On Thu, Nov 17, 2011 at 12:23 AM, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: -- shi, qi

On Thu, 17 Nov 2011, Qi Shi wrote: http://cvs.nongnu.org/ http://gretl.sourceforge.net/#cvs But much of the time (and now) what's new in CVS is also in the "snapshots" for Windows and OS X: http://gretl.sourceforge.net/win32/ http://gretl.sourceforge.net/osx.html Allin Cottrell