Folks,
does someone use the Klein I model as an example in the classroom? I tried to re-estimate the results from expl. 15.2. from Green (5th edition), ch. 15. I used Allin's script from 2004 (Gretl-users list archive) and added "genr K1 = K(-1)" . open klein.gdt genr W = Wp + Wg genr A = t - 1931 genr P1 = P(-1) genr X1 = X(-1) genr K1 = K(-1) # Equation-by-equation OLS ols C 0 P P1 W ols I 0 P P1 K1 ols Wp 0 X X1 A # Equation-by-equation TSLS tsls C 0 P P1 W ; 0 G T A Wg P1 K1 X1 tsls I 0 P P1 K1 ; 0 G T A Wg P1 K1 X1 tsls Wp 0 X X1 A ; 0 G T A Wg P1 K1 X1 # Now set the model up as a system system name="Klein Model 1" equation C 0 P P1 W equation I 0 P P1 K1 equation Wp 0 X X1 A identity P = X - T - Wp identity W = Wp + Wg identity X = C + I + G endog C I Wp P W X end system # and estimate it in various ways estimate "Klein Model 1" method=3sls estimate "Klein Model 1" method=fiml estimate "Klein Model 1" method=liml The results are fine (in line with the results reported in Greene (2002) with the exception of the result for the constant in the third (wage) equation. I wonder if someone has the same result. I attach the results as well (*.doc) Cheers, Ulrich Professor Dr. Ulrich Fritsche Fachbereich Sozialökonomie Fakultät Wirtschafts- und Sozialwissenschaften Universität Hamburg Von-Melle-Park 9 20146 Hamburg www.ulrich-fritsche.net
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Folks, does someone use the Klein I model as an
example in the classroom? I tried to re-estimate the results from
expl. 15.2. from Green (5th edition), ch. 15. I used Allin’s
script from 2004 (Gretl-users list archive) and added “genr K1 = K(-1)“
. open klein.gdt genr W = Wp + Wg genr A = t - 1931 genr P1 = P(-1) genr X1 = X(-1) genr K1 = K(-1) # Equation-by-equation OLS ols C 0 P P1 W ols I 0 P P1 K1 ols Wp 0 X X1 A # Equation-by-equation TSLS tsls C 0 P P1 W ; 0 G T A Wg P1 K1 X1 tsls I 0 P P1 K1 ; 0 G T A Wg P1 K1 X1 tsls Wp 0 X X1 A ; 0 G T A Wg P1 K1 X1 # Now set the model up as a system system name="Klein Model 1" equation C 0 P P1 W equation I 0 P P1 K1 equation Wp 0 X X1 A identity P = X - T - Wp identity W = Wp + Wg identity X = C + I + G endog C I Wp P W X end system # and estimate it in various ways estimate "Klein Model 1"
method=3sls estimate "Klein Model 1"
method=fiml estimate
"Klein Model 1" method=liml The results are fine (in line with the
results reported in Greene (2002) with the exception of the result for the constant
in the third (wage) equation. I wonder if someone has the same result. I attach the results as well (*.doc) Cheers, Ulrich Professor Dr. Ulrich Fritsche Fachbereich Sozialökonomie Fakultät Wirtschafts- und Sozialwissenschaften Universität Hamburg Von-Melle-Park 9 20146 Hamburg |
<<attachment: result_klein_i.doc>>
