On Thu, 10 Oct 2024, Alecos Papadopoulos wrote:

gretl 2024b. Windows 10 64-bit.

Is there a way to impose a non-negativity/positivity constraint on the gmm command for an estimated parameter *when using the --lbfgs option*?

I am trying to estimate  variance(scale) parameters of a distribution. The theoretical moment condition is

qw^2 + qu^2 = (1/n)sum res^2

(sum of squared residuals estimates the population variance, which is the sum of two separate variances, so we need both qw>0, qu>0).

I wrote one of the two related orthogonality conditions as

series eq2 = (res2 - (sqrt(qw))^4 - (sqrt(qu))^4 ) *(1/obsn)

(obsn = n) .

/Without/ the --lbfgs option, it appears that the positivity constraint imposed implicitly through the use of the square root, is respected.

But when I include the --lbfgs option in the gmm command, the estimator does not seem to be bothered with the square root any more [...]

Alecos, could you give us example data and script to replicate this issue, please? Off-list if you prefer.

Allin
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