[Gretl-users] problem with system instrumental variables

[Sven Schreiber]

Am 07.02.2008 12:27, nadaud at centre-cired.fr schrieb:
> Hello listers, greetings from Paris !
> 
> Still on my system estimation commands, I have a few difficulties with 
> the use of instruments.
> 
> I would like to estimate a system of two equations with one different 
> variable and one instrumented variable (income). So I use the syntax for 
> tsls to specifiy regressors and instruments on the same line :
> 
> 
> =================================================== script exerpt 
> ==============================================================
> list socdemo = CHILD LOCATAIRE AUTOMOBILE
> 
> system name=AIDS
> equation WLOG const lnPLOGCOMP lnPCARBCOMP lnDEPTOTR socdemo MRLOG ; 
> const lnPLOGCOMP lnPCARBCOMP lnREVTOTUCR socdemo MRLOG equation WCAR 
> const lnPLOGCOMP lnPCARBCOMP lnDEPTOTR socdemo MRCAR ; const lnPLOGCOMP 
> lnPCARBCOMP lnREVTOTUCR socdemo MRCAR
> end system
> restrict AIDS
> b[1,3]-b[2,2]=0
> end restrict
> estimate AIDS method=3sls
> 
> =================================================== end script exerpt 
> ==============================================================
> 
> but the command fails as gretl says : "variable 0 duplicated in commands 
> list"
> 
> GRETL seems not to accept my instruments, in this AIDS model total 
> expense (lnDEPTOTR) is instrumented by income (lnREVTOTUCR) ; all other 
> variables being the same except the last ones (MRLOG and MRCAR) which 
> are specific to each equation (and must remain different).
> 
> If i use both MLOG and MCAR in each equation, system estimation runs ok 
> but does not makes sense on a statistical perspective.
> 
> Any advice from the list ?
> 

I believe that variable 0 refers to the constant. And for TSLS there was 
recently some change in whether the constant is automatically added or 
not. Don't know whether this applies to 3SLS as well.

So until someone knowledgeable answers this, I can think of two 
workarounds that may or may not work:

1) try leaving out the const and check afterwards whether gretl has 
added it automatically
2) update to a newer version; if you already use 1.7.1 maybe use the 
latest windows snapshot (or cvs, respectively).

No guarantees, but good luck!

-sven