ACF and documentation of Bartlett standard errors
by Sven Schreiber
Hi,
I think the choice of Bartlett standard errors for the correlogram in
the GUI is relatively recent (not sure), while the corresponding
--bartlett option for the corrgm command has been there for a long time.
In any case, I was made aware of the special null hypothesis underlying
the Bartlett variant: namely that for the interval at lag k the null
hypothesis is an MA(k-1). This is not a problem (of course), but the
standard confidence intervals come from white noise as the null
hypothesis. So the choice of Bartlett standard errors in this case isn't
just some robustification or small-sample thing (as opposed to a
Bartlett correction in other contexts, for example), but involves a
different view.
So far so good, but I haven't found any mention of what the Bartlett
errors actually mean. I have checked the GUI help text (for
"Correlogram"), the documentation of the corrgm command, and the user
guide. Actually, I was a bit surprised that the user guide and
specifically the univariate time series chapter does not mention the
ACF/PACF/correlogram at all. (Searching for "corrgm" or "ACF" doesn't
show anything, and "correlogram" only shows up in a different context as
cross-correlogram.) This is not a criticism, but just an observation --
maybe there are places I have overlooked.
I think wherever these Bartlett standard errors are mentioned as an
option, the different null hypothesis should be made explicit. I also
think it would be good to put the word "Bartlett" into the ACF plot if
it's chosen.
I'm posting this here for discussion, maybe I'm misunderstanding the
intention or assumption for those Bartlett standard errors, since I
haven't checked the source code (yet).
thanks
sven
1 month
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consolidate xls xlsx in the file open dialog?
by Sven Schreiber
Hi,
xls and xlsx are two separate entries in the file chooser filter, as
opposed for example to gdt and gdtb. Is there still a reason for this,
or could they be lumped together?
thanks
sven
2 months, 1 week
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