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

Pindar pindar777 at gmail.com
Wed Jul 3 16:14:04 EDT 2013



Am 03.07.2013 um 11:34 schrieb "Riccardo (Jack) Lucchetti" <r.lucchetti at univpm.it>:

>>> Have you already thought about incorporating a 'collapse' switch?
>> 
>> Which would do what, exactly?
> 
> The 'collapse' switch is, as far as I know, a clever invention by the Stata-oriented guys (I believe Roodman himself). In a nutshell, it's a way to reduce the number of over-identifying restrictions without sacrificing the main idea, so to speak.
> 
> For example, imagine you have a DIF-GMM estimator with T=4: you could use 3 orthogonality conditions
> 
> a. \Delta e_{3,i} y_{1,i}
> b. \Delta e_{4,i} y_{1,i}
> c. \Delta e_{4,i} y_{2,i}
> 
> or you could put together a. and c. as
> 
> \Delta e_{t,i} y_{t-2,i}
> 
> and go down to 2. This means, in practice, that certain matrices get 'compressed' by squeezing out zeros.
> 
>> From a statistical point of view, this amounts to making some extra
> assumptions on the variance of disturbances, compared to ordinary GMM. 

At the moment I'm not sure what these are. But it should be mild ones, or?

>> From a practical point of view, this is often innocuous, although it leads
> to different results in practice, where the differences should be small for very large N if the model is well specified. From the regression monkey's point of view, this is a great invention, because it multiplies the number of legitimate ways in which you can run the same model, thus giving you a few more chances to have the little stars in the output appear exactly where you want them.
> 

Nice :-)

> -------------------------------------------------------
>  Riccardo (Jack) Lucchetti
>  Dipartimento di Scienze Economiche e Sociali (DiSES)
> 
>  Università Politecnica delle Marche
>  (formerly known as Università di Ancona)
> 
>  r.lucchetti at univpm.it
>  http://www2.econ.univpm.it/servizi/hpp/lucchetti
> -------------------------------------------------------
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