[Gretl-devel] bug when using gmm

[Riccardo (Jack) Lucchetti]

On Sat, 31 May 2008, Sven Schreiber wrote:

> 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.

If you need something like that, you can do it "by hand":

matrix W0 = (whatever)
matrix W = W0

gmm
    ...
   weights W
    ...
end gmm --iterate

> Are there any other cases where a user-defined variable is implicitly 
> altered by gretl?

Lots. For example,

scalar a = 0
mle ...
    params a
end mle

Same goes for gmm and nls.

> 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 for the idea. I'd already planned to do some work on the manual 
this weekend. I'll throw this in.

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti