Riccardo (Jack) Lucchetti schrieb: > > Fortunately, it isn't. > > When you do 2 or more steps in GMM, the weights matrix gets updated. > Hence, in your script the second GMM blocks starts with the weights > matrix out of the first one. If you insert the statement > > matrix dnew2weights = inv(dnew2mat'dnew2mat) > > between the two gmm blocks, you get that the second estimate is > precisely equal to what would have been if you had skipped the first gmm > block. >
First of all, thanks a lot for the quick explanation! However, I'm wondering whether the updated weight matrix shouldn't rather be stored in some internal gretl variable instead of what the user passed as the *initial* weights. Are there any other cases where a user-defined variable is implicitly altered by gretl? IMHO at least it should be stated explicitly in the manual -- but I confess I haven't checked and I can very well imagine that it is already mentioned there. thanks, sven
