Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
Am 16.04.2018 um 18:29 schrieb Riccardo (Jack) Lucchetti:
On Mon, 16 Apr 2018, Sven Schreiber wrote:
> Am 16.04.2018 um 18:07 schrieb Riccardo (Jack) Lucchetti:
>> Hm, I see. I personally would prefer redefining the $\Gamma$ matrices.
>
> Fine with me. Only that the sentence "... expresses \Sigma as the
> long-run covariance of..." would also have to be adapted with a phrase
> like "proportional to" or something.
I'd prefer "expresses $\Sigma$ as the long-run covariance matrix of the
random $k$-vector $x_t \cdot u_t$", since $X$ is a matrix.
Right, that as well. But with the T-factor now Sigma won't be the
long-run cov matrix of that animal anymore, that was my other point.
-sven