2012/7/20 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>: > On Fri, 20 Jul 2012, Rodrigo Alfaro Arancibia wrote: > >> Please note from EViews' manual: "EViews estimates the model as a >> nonlinear regression model (...), require specification of additional >> instruments to satisfy the instrument order condition for the transformed >> specification. By default, the first-stage instruments employed in TSLS >> are >> formed as if one were running Cochrane-Orcutt using Fair’s prescription." >> >> Therefore you cannot replicate the results using 2SLS in gretl or >> other software given that 2SLS are linear models. The fact that EViews >> does a nonlinear regression is rooted in the Cochrane-Orcutt procedure >> which, in the standard LS context, imposes constraints on the >> coefficients. > > > You _can_ replicate them in gretl: actually, from what you describe you have > the choice of using > > a) the nls command > b) the mle command > c) the gmm command > > Only, it's a lot more work. But if you had the absolute necessity of > replicating Eviews' algorithm, it's perfectly possible.
Ok, you can do it, but it requires more than using the tsls command.
