[Gretl-users] DPANEL questions concerning accessors, a collapse switch and arguments

Pindar pindar777 at gmail.com
Mon Jul 1 04:42:54 EDT 2013


X <#>LatexIt! run report...

*** Found expression $\begin{ matrix } 0 \\ { y }_{ i,1 } \\ . \\ . \\ . \\ { y }_{ i,T-2 } \end{ matrix }$
LaTeX process returned 1
Proceeding anyway...
*** Found expression $ar1, $
Image was already generated

Thank you Allin for ur quick response!
I'll write below.

01.07.2013 04:17, Allin Cottrell:
> On Sun, 30 Jun 2013, Pindar wrote:
>
>> I think that accessors for the various test-statistics and
>> p-values would be useful like $ar1, $ar2.
> We're contemplating a more general way of making "special" model
> data available. Watch this space.
Cool! I gonna follow this development :-)
>> Have you already thought about incorporating a 'collapse' switch?
> Which would do what, exactly?
It's a means to limit instrument proliferation.
According to Roodman (2006) "This embodies the same expectation but 
conveys slightly less information, since it generates a single moment 
condition" (p.23)

In footnote 11 on page 24: "After conceiving of such instrument sets and 
adding a collapse option to xtabond2, I discovered precedents. Adapting 
Arellano and Bond's (1998) dynamic panel package, DPD for Gauss, and 
performing System GMM, Calderon, Chong, and Loayza (2002) use such 
instruments, followed by Beck and Levine (2004) and Carkovic and Levine 
(2005). Roodman (2009) demonstrates the superiority of collapsed 
instruments in some common situations with simulations."

Here is the new first column after collapsing:

$\begin{ matrix } 0 \\ { y }_{ i,1 } \\ . \\ . \\ . \\ { y }_{ i,T-2 } 
\end{ matrix }$



>> The GMM() function does not support the use of lists right now.
>> Could this be improved?
> Maybe, but it seems this might encourage the over-proliferation of
> instruments that produces singular "A" matrices and hence somewhat
> indeterminate results.
True. I now use the springf with @nlags and three GMM() to test down.
>
> Allin Cottrell
>
>
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