Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
Am 16.04.2018 um 05:48 schrieb Allin Cottrell:
On Sun, 15 Apr 2018, Sven Schreiber wrote:
> However, jack's longrunvar() function has an additional
factor 1/T in
> the result, and it seems to me this is correct (thus, missing in
> lrcovar as of now).
Yes, I was thinking the magnitude looked off, and 1/T would be the
difference. It seems that gets applied at a later stage (than HAC_XOX)
in the process of constructing a HAC covariance matrix in libgretl.
Yes, it's a bit complex to track this down (at least for me). I'm
looking at qr_make_vcv and it seems that (only) the diagonal is
multiplied with pmod->sigma. My best guess so far is that that's where
the factor 1/T (or its square root) comes in and that actually only the
diagonal of that matrix is really usable.
(But since in a VAR with HAC errors the vcv is never exposed in gretl
[right?] this is not a real problem so far.)
But
it would of course be easy to apply it within lrcovar().
Ok, good.
> Another difference is that lrcovar(X) corresponds to
longrunvar(X, 1),
> assuming demeaned data. The question is whether to make the user
> responsible for demeaning or to offer it as an option.
Easy enough to make it an option if that's desirable.
Well in that case I guess it would be nice to have that option.
cheers,
sven