[Gretl-users] how to reproduce Verbeek's Table 5.4 (one-step GMM)?

Allin Cottrell cottrell at wfu.edu
Wed Nov 16 11:23:36 EST 2011


On Wed, 16 Nov 2011, Allin Cottrell wrote:

> [I see that Jack Lucchetti has replied on this since I started writing, but 
> I'll post it anyway; having two methods to look at might be useful.]

Here's one more variant for comparison: this is closer in 
spirit to Qi Shi's original approach. Note the "orthog"
specification

orthog elist ; const

will not work right unless you're using current CVS.

<hansl>
open pricing.gdt
set force_hc on

scalar delta=0.5
scalar gamma=0.5

series dcg = delta*cons^(-gamma)
list elist = null
series e0 = dcg*(1+rf)-1
elist = e0
loop j=1..10
   series e$j = dcg*(rf-r$j)
   elist += e$j
endloop

matrix V0=I(11)

gmm
     dcg = delta*cons^(-gamma)
     e0 = dcg*(1+rf)-1
     e1 = dcg*(rf-r1)
     e2 = dcg*(rf-r2)
     e3 = dcg*(rf-r3)
     e4 = dcg*(rf-r4)
     e5 = dcg*(rf-r5)
     e6 = dcg*(rf-r6)
     e7 = dcg*(rf-r7)
     e8 = dcg*(rf-r8)
     e9 = dcg*(rf-r9)
     e10 = dcg*(rf-r10)
     orthog elist ; const
     weights V0
     params delta gamma
end gmm
</hansl>

Allin Cottrell




More information about the Gretl-users mailing list