On Thu, 12 Jan 2006, Arnaud Bervas wrote:
is it possible to make gmm estimation using gretl ?
That said, I have a question: what specifically do you need gmm for?
"Generic" GMM estimation is more a theoretical concept (ie something you
use to devise estimators an establish their properties) than an applied
one. The computational machinery behind the estimation of dynamic panel
data models is very different from what you need to estimate Euler
equations. In both cases, the theory says you use a GMM estimator; in
practice, the former is a slight generalisation of instrumental variables,
the latter requires heavy numerical optimisation. OLS is a GMM estimator
too, and gretl does that rather well :-)
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche