Hello Allin I am teaching a course in time series and will use GRETL.
Does any one has the code for any of the following models? * estimating time varying covariances using GMM (Harvey 1991); * testing mean/variance efficiency using GMM (Mackinlay & Richardson 1991).; *factor modelling for the interest rate term structure (Brennan & Schwartz 1982). Regards Professor Kostas Giannopoulos Dean, Business School Neapolis University 2 Danais Avenue Pafos 8042 Cyprus tel +357 26843372 www.nup.ac.cy -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces(a)lists.wfu.edu] On Behalf Of Allin Cottrell Sent: Wednesday, February 08, 2012 4:01 PM To: Anutechia Asongu; Gretl list Subject: Re: [Gretl-users] Fama and French using GMM in Grelt On Wed, 8 Feb 2012, Anutechia Asongu wrote: > I have a qualm applying a four-factor Fama and French model with > Grelt. The name is "gretl". > The reference article I''m using applies GMM. As far as I have perused > GMM goes with instruments(moment conditions). > But in this article, no reference is made to choice of instruments. Is > there a GMM application on Grelt that doesn't require instruments for > its application?. No, not in gretl and not anywhere. The principle of GMM is to choose parameter values that satisfy (or come as close as possible to satisfying) a set of orthogonality conditions. Each orthogonality condition takes the form u is orthogonal to z where the z's are the "instruments". In a very simple case (where GMM as such is not really required) the set of instruments may coincide with the set of regressors. See chapter 20 of the Gretl User's Guide for details. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users
