Re: [Gretl-devel] Presentation of model results

El Sunday 23 November 2008 19:57:13 Riccardo (Jack) Lucchetti escribió: > On Sun, 23 Nov 2008, Sven Schreiber wrote: > > Am 23.11.2008 17:15, Allin Cottrell schrieb: > >> Mean dependent var 4.538837 S.D. dependent var 0.243346 > >> Sum squared resid 1.617235 S.E. of regression 0.189575 > >> R-squared 0.430985 Adjusted R-squared 0.405696 > >> F(2, 45) 17.04203 P-value(F) 3.09e-06 > >> Log-likelihood 13.26255 Akaike criterion -20.52509 > >> Schwarz criterion -14.91149 Hannan-Quinn -18.40371 > >> rho 0.018627 Durbin-Watson 1.960299 > >> > >> (with the last row omitted for non-time series). > > > > Why actually have both the rho and the DW stat? (Assuming rho is the > > first-order autocorrelation coeff, right?) > I also don't see the necessity of rho (well, only for having an even number of items here). As a former RATS user I miss, in the context of ARIMA models (not for ols), the Ljung-Box statistic. > > What I usually teach my students is that DW has just historical importance > and that if you want to test for autocorrelation the LM (Godfrey) test is > a much better tool. So, in principle I agree with you 100%. The only cases > (that I can think of right now) when I may want to actually see the DW > statistic are: > > 1) as always, for comparison/replication purposes > 2) in the context of teaching what a spurious regression is (Granger & > Newbold's famous "rule of thumb") > 3) in the context of cointegration tests, but IMHO nowadays Sargan and > Bhargava's idea is quite outdated too. > > Hence, I wouldn't miss DW very much personally. I vote for DW as well. > > Next, an unrelated suggestion: What do you think about grouping the > > adjusted R-squared and the info criteria together, since conceptually > > they are more or less the same thing. I prefer leaving the things as above. I consider the F() test may be interpreted as a type of "significance test" for the R^2. Remember that F=[R^2/(k-1)]/[(1-R^2)/(T-k)] so I think it is natural that the F test goes inmediately after the R^2. > Agreed. Once we're at it, I'd like to express my preference for the "AIC", > "BIC" and "HQC" acronyms, which shouldn't necessarily be translated. I also vote for AIC, BIC and HQC. -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.et.bs.ehu.es _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel