[Gretl-users] A Newbie Needs Help

[scottd.orr at comcast.net]

The manual seems to suggest that gretl's normal procedure for handling of lags makes the Arrellano/Bond estimator unnecessary--but it doesn't give any detail on that procedure.  Or am I missing something?

Scott Orr

-------------- Original message -------------- 
From: Allin Cottrell <cottrell at wfu.edu> 

> On Wed, 12 Mar 2008, Riccardo (Jack) Lucchetti wrote: 
> 
> > On Wed, 12 Mar 2008, Sven Schreiber wrote: 
> > 
> > > Well actually I haven't worked yet with the panels&gretl combination, so I 
> > > can't help you with that. Dynamic panels are not trivial (but fashionable), 
> > > maybe you want to use something like the Arrellano/Bond estimator. Of course 
> > > you could perform that by cleverly using gretl's GMM framework, but I think 
> > > it's not natively implemented yet. (Somebody correct me please.) 
> > 
> > It is. See the panel chapter of the manual and the "arbond91" 
> > example script. 
> 
> The panel chapter has relatively little to say about Arellano/Bond 
> (that still needs to be added) but the Command Reference section 
> on the arbond command is reasonably detailed. 
> 
> Allin. 
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