Re: Re: [Gretl-devel] backward incompatibilities

Am 21.08.2008 16:46, Riccardo (Jack) Lucchetti schrieb: I just updated > the entry for "arch" so that it now reflects your thoughts and mine. > > On the wiki page you clarify what gretl's arch does exactly, which I didn't know. So if I understand correctly, the difference between 'arch' and 'garch' without the "generalized" (MA) terms is not just a slightly different numerical algorithm, but really a different estimator. And the arch estimator is not the "usual" ML. In that case I guess I would agree to remove arch. Or is the approach that is used for 'arch' widespread elsewhere? Re the Engle-Granger test and Allin's question: AFAIK and kind of trivially, the Johansen test is asymptotically optimal if all assumptions about the DGP are met. This should include Gaussian innovations. But the Johansen test is known to have severe small-sample distortions. For this and other reasons I think it is perfectly reasonable to have a variety of cointegration tests. Instead of ditching Engle-Granger I think the goal should actually be to have more tests available (but of course this should primarily be done through user-contributed function packages).