/usr/share/gretl/scripts/greene11_3.inp is in gretl-common 2017d-3build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 | # script to replicate Example 11.3 in Greene
open greene11_3.gdt
# run initial OLS
ols C 0 Y
scalar essbak = $ess
scalar essdiff = 1
scalar beta = $coeff(Y)
scalar gamma = 1
# iterate OLS till the error sum of squares converges
loop while essdiff > .00001 --quiet
# form the linearized variables
series C0 = C + gamma * beta * Y^gamma * log(Y)
series x1 = Y^gamma
series x2 = beta * Y^gamma * log(Y)
# run OLS
ols C0 0 x1 x2 --print-final --no-df-corr --vcv
beta = $coeff[2]
gamma = $coeff[3]
ess = $ess
essdiff = abs(ess - essbak)/essbak
essbak = ess
endloop
# print parameter estimates using their "proper names"
printf "alpha = %g\n", $coeff[1]
printf "beta = %g\n", beta
printf "gamma = %g\n", gamma
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