[Gretl-users] System estimation

[Allin Cottrell]

On Mon, 27 Aug 2007, Riccardo (Jack) Lucchetti wrote:

> On Sat, 25 Aug 2007, Allin Cottrell wrote:
> 
> > (a) Create a matrix with a column for each equation, and a number
> > of rows equal to the maximum number of coefficients in any
> > equation.  For each column (equation) enter the coefficients in
> > the order they're printed, starting from the top, and pad out the
> > rest of the column with zeros if required.
> > 
> > (b) More complicated: create an n x g zero matrix, where n is the
> > total number of distinct variables appearing on the right hand
> > side of *any* equation and g is the number of equations.  Fill in
> > the appropriate values.
> 
> Hmm. The way I would think be most useful is to use the 
> vectorisation of (b). This could easily be converted to a matrix 
> via mshape, but would have the added benefit of making it 
> possible to define unambigously the covariance matrix for the 
> parameters, which in turn clears the way if one needs point 
> estimate and variance of some function of the estimated 
> parameters (elasticities in Franck's case).

That makes sense.  I'll have a go at it.

Allin.