Hi All, I wish to know if we test for unit root in dummy variables. Thanks
--- On Fri, 11/12/10, Allin Cottrell <cottrell(a)wfu.edu> wrote: From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] Getting the restricted parameters estimates To: "Gretl list" <gretl-users(a)lists.wfu.edu> List-Post: gretl-users@gretlml.univpm.it Date: Friday, November 12, 2010, 6:08 PM On Thu, 11 Nov 2010, Henrique Andrade wrote: > I'm estimating a instrumental variable model and I > need to test some restrictions. Please take a look > at my script: > > <script> > open australia.gdt > > # TSLS > tsls E const PAU PUS ; const PAU(-1) PUS(-1) > restrict > b[2] + b[3] = 1 > end restrict > </script> > > Everything works fine, but I need the estimated > parameters of the restricted model. Is this > possible? gretl will do that automatically for you only if you're using OLS. But you can do it yourself: y = b1 + b2*x2 + b3*x3 + u H0: b2 + b3 = 1 => b3 = 1 - b2 => y = b1 + b2*x2 + (1 - b2)*x3 + u => (y - x3) = b1 + b2*(x2 - x3) + u So: y = E - PUS x = PAU - PUS tsls y const x ; const <your instruments here> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users
Hi All, I wish to know if we test for unit root in dummy variables. Thanks --- On Fri, 11/12/10, Allin Cottrell <cottr...@wfu.edu> wrote:
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