Re: [Gretl-devel] backward incompatibilities
Am 21.08.2008 16:46, Riccardo (Jack) Lucchetti schrieb:
I just updated
the entry for "arch" so that it now reflects your thoughts
and mine.
On the wiki page you clarify what gretl's arch does exactly, which I
didn't know. So if I understand correctly, the difference between 'arch'
and 'garch' without the "generalized" (MA) terms is not just a slightly
different numerical algorithm, but really a different estimator. And the
arch estimator is not the "usual" ML. In that case I guess I would agree
to remove arch. Or is the approach that is used for 'arch' widespread
elsewhere?
Re the Engle-Granger test and Allin's question: AFAIK and kind of
trivially, the Johansen test is asymptotically optimal if all
assumptions about the DGP are met. This should include Gaussian
innovations. But the Johansen test is known to have severe small-sample
distortions. For this and other reasons I think it is perfectly
reasonable to have a variety of cointegration tests. Instead of ditching
Engle-Granger I think the goal should actually be to have more tests
available (but of course this should primarily be done through
user-contributed function packages). Hence my disagreement about the
'coint' issue.
cheers,
sven