Re: [Gretl-devel] RFC: $sigma & co.
On Thu, 1 May 2008, Sven Schreiber wrote:
Am 01.05.2008 12:54, Riccardo (Jack) Lucchetti schrieb:
>
> Moreover, we have a slight inconsistency in the way we compute things:
> $sigma uses the asymptotic formula (ie, E'E over T), while in the displayed
> equations we use degrees-of-freedom corrected figures for standard errors.
> I'm not overly bothered by this, but some may.
What about $sigma in other contexts, is that asymptotic or dof-corrected? I
think that should be made consistent.
I'm all for consistency in general, but this case is difficult. In OLS
estimation, for example, SSR/T and SSR/(T-k) are both consistent, but the
latter has the additional small advantage of being unbiased under certain
conditions, so that's traditionally what people use. I personally
think it's rather silly to worry about this when you have a decent
sample size; if you don't, well, I doubt very much you should be doing
inference _at all_.
In other contexts, Tobit models for example, you simply don't have a
choice. In my view, the really important thing is that you know which
formula is used in each case, so that if you feel like re-computing $sigma
to your taste, you have the tools to do it.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti