On Sat, Apr 26, 2008 at 10:49 AM, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:
 
If you ask me, I'd use $sigma for VAR/VECM/GARCH models throughout; I'd scrap $h; I'd implement $vcv as the covariance matrix of parameters for VARs. Clearly, this would definitely break a few existing scripts.

I didn't even know the existence of $h for GARCH...yes wipe it away! Anyway I think consistency has to be preferred to backward compatibility here.