Ang. [Gretl-users] nonlinear IV

[Riccardo (Jack) Lucchetti]

On Tue, 22 May 2007, andreas.karlsson at ltv.se wrote:

> svetosch at gmx.net @ INTERNET skrev 2007-05-22 13:12:59 :
>
>> Hi fellow gretl users,
>>
>> I'm interested in applying nonlinear instrumental variables, like in
>> section 7.6 of the Davidson/MacKinnon book.
>>

I don't have the book with me atm. I suppose it can be done, but would I 
be very mistaken in thinking that the gmm command already does what you 
want?

>> AFAIK it's not directly possible in gretl, but what about using the
>> generic maximization routine that was recently added to gretl (IIRC)? Is
>> that ready yet?
>
>
> A generic minimization (or maximization) command in gretl would really be
> welcome. What algorithm will it use? Newton-Raphson?

You already have that. Search the manual for "BFGSmax".

> BTW, when talking about gretl commands, a function "mode()" that calcualtes
> the mode, i.e. the value that has the largest number of observations, and a
> function "ceiling()" that computes the ceiling function, would be a welcome
> addition to be used with the "genr" command.

ceiling() whould be easy to do. However, with a bit of dexterity you can 
coerce the "int" function to do what you want; for example:

nulldata 100

x = int(uniform()*6)/2
f = int(x)
c = (x-f) ? f+1 : f

As for "mode()", I'm all for it, provided we find a sensible way to handle 
multi-modal variables.


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

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