Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
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.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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