[Gretl-devel] bug when using gmm

[Sven Schreiber]

Riccardo (Jack) Lucchetti schrieb:

> 
> Fortunately, it isn't.
> 
> When you do 2 or more steps in GMM, the weights matrix gets updated. 
> Hence, in your script the second GMM blocks starts with the weights 
> matrix out of the first one. If you insert the statement
> 
> matrix dnew2weights = inv(dnew2mat'dnew2mat)
> 
> between the two gmm blocks, you get that the second estimate is 
> precisely equal to what would have been if you had skipped the first gmm 
> block.
> 

First of all, thanks a lot for the quick explanation!

However, I'm wondering whether the updated weight matrix shouldn't 
rather be stored in some internal gretl variable instead of what the 
user passed as the *initial* weights. Are there any other cases where a 
user-defined variable is implicitly altered by gretl?

IMHO at least it should be stated explicitly in the manual -- but I 
confess I haven't checked and I can very well imagine that it is already 
mentioned there.

thanks,
sven