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

Qi Shi qshi.17 at gmail.com
Wed Nov 16 20:51:12 EST 2011


Thanks Allin and Jack very much.

On Thu, Nov 17, 2011 at 12:23 AM, Allin Cottrell <cottrell at wfu.edu> wrote:
> 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
>
>
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-- 
shi, qi



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