Re: [Gretl-users] Instumental variables

[敷田治誠 クラウジオ]

Yes, but just as independent variables. I cannot include them as
instruments. That´s my question. Thanks for answering me, but the problem
persists for me. If you can use lags as instruments, so my version has some
bug.

Claudio

2010/5/25 Sven Schreiber <svetosch(a)gmx.net>

> Am 25.05.2010 14:20, schrieb Claudio Shikida (敷田治誠 クラウジオ):
> > Hello to all,
> >
> > Straight to the point. I converted an old Eviews file to Gretl. The
> > series were ok, all was going well. They are time series. I updated the
> > series and generated the logs, d(logs) and also logs(-k) and dlogs(-k).
> > All of this was fine. So I went to the Instrumental Variables in order
> > to estimate a Bewley version of a cointegration relationship. It means I
> > have to use logs(-k) as instruments. Here is the problem: Gretl doesn´t
> > show the logs(-k), neither dlogs(-k) as options to put into the model.
> > So I tried to created them in this menu. New failure.
> >
> > Shortly: instrumental variables just shows me the original variables and
> > when I try to enter the lags of several of them as instruments, I can´t.
> > I presume I can change the name of the variables and solve this, but I
> > would like to know, first, if I am doing some foolish stuff.
> >
>
> I'm not sure I understand, because for me the dialog window for IV
> regression clearly allows to specify lags (hit the "lags..." button at
> the bottom).
>
> -sven
>
>


-- 
http://shikida.net  and http://works.bepress.com/claudio_shikida/

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Yes, but just as independent variables. I cannot include them as instruments. That´s my question. Thanks for answering me, but the problem persists for me. If you can use lags as instruments, so my version has some bug. 

Claudio

2010/5/25 Sven Schreiber <sveto...@gmx.net>

Am 25.05.2010 14:20, schrieb Claudio Shikida (敷田治誠　クラウジオ):

> Hello to all,
>
> Straight to the point. I converted an old Eviews file to Gretl. The
> series were ok, all was going well. They are time series. I updated the
> series and generated the logs, d(logs) and also logs(-k) and dlogs(-k).
> All of this was fine. So I went to the Instrumental Variables in order
> to estimate a Bewley version of a cointegration relationship. It means I
> have to use logs(-k) as instruments. Here is the problem: Gretl doesn´t
> show the logs(-k), neither dlogs(-k) as options to put into the model.
> So I tried to created them in this menu. New failure.
>
> Shortly: instrumental variables just shows me the original variables and
> when I try to enter the lags of several of them as instruments, I can´t.
> I presume I can change the name of the variables and solve this, but I
> would like to know, first, if I am doing some foolish stuff.
>

I'm not sure I understand, because for me the dialog window for IV
regression clearly allows to specify lags (hit the "lags..." button at
the bottom).

-sven

--
http://shikida.net  and http://works.bepress.com/claudio_shikida/

Esta mensagem pode conter informação confidencial e/ou privilegiada. Se você não for o destinatário ou a pessoa autorizada a receber esta mensagem, não poderá usar, copiar ou divulgar as informações nela contidas ou tomar qualquer ação baseada nessas informações. Se você recebeu esta mensagem por engano, por favor avise imediatamente o remetente, respondendo o presente e-mail e apague-o em seguida.
This message may contain confidential and/or privileged information. If you are not the addressee or authorized to receive this for the addressee, you must not use, copy, disclose or take any action based on this message or any information herein. If you have received this message in error, please advise the sender immediately by reply e-mail and delete this message.