Ang. [Gretl-users] nonlinear IV (fwd)

[Riccardo (Jack) Lucchetti]

On Tue, 22 May 2007, Sven Schreiber wrote:

> See the point is I can't even tell yet whether that is what I need
> because I don't know the details of gretl's gmm syntax. For example,
> without too much thinking I would expect some derivatives to be needed
> (X(\tilde(\beta)) in Davidson-MacKinnon-speak), but maybe that's already
> implicitly there?

If you're prepared to live with numerical derivatives, gmm computes them 
automagically and you don't have to worry about them. It'd be very nice to 
have gmm use user-supplied analytical derivatives like nls and mle; the 
trouble is that it's very hard to find a convenient user-level syntax.


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

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