[Gretl-devel] restrict after GMM

[Sven Schreiber]

Am 31.01.2008 14:27, Riccardo (Jack) Lucchetti schrieb:
> On Thu, 31 Jan 2008, Sven Schreiber wrote:
> 
>> I'm wondering why 'restrict' isn't possible after GMM. Performing 
>> Wald-type tests should not pose extra problems once we have the 
>> estimator and the covariance matrix, right? Or am I missing something?
> 
> The same applies to mle. It seems quite clear to me that only the --wald 
> form should be allowed (in these cases, automatic estimation of the 
> restricted model would involve quite a bit of work).

yes.

> 
> I guess in principle this could be done, once we overcome a slight 
> problem of notation: we may adopt a convention by which b3 is $coeff[3] 
> and so on, like we do with, say, ols. Note, however, that this may be 
> confusing in some cases, since gmm & mle allow you to put your 
> parameters under arbitrary names. 

Wouldn't it be possible to directly use the names defined in the params 
line? I mean once the user has defined them, it's all very transparent 
and can easily be checked by gretl, right? I don't see why any extra 
notation is needed.

...

> 
> But I agree that having "restrict" work after gmm/mle would be nice. 
> Actually, if we decide to devote some time to "restrict", it'd be rather 
> cool to handle nonlinear constraints via the delta method. The problem 
> is, this would probably force us introduce a few backward-incompatible 
> changes.
> 
> 

Well, I'd say one thing after another, and while I would welcome a 
general extension of 'restrict', IMHO that's a different issue.

-sven