Re: [Gretl-devel] menus AR(1) / autoregr. / vs. "ordinary" AR

On Tue, 2 May 2017, Sven Schreiber wrote: > Hi, > > although I do a lot of time series, I don't usually use the methods that > come under the heading of "time-series AR(1)" or "autoregressive" (that is > Cochrane-Orcutt etc.). Indeed I would claim that those are in general not > much used anymore -- either people use ARIMA(X) estimators (with AR as > special cases), or they estimate with autocorrelation and then apply > Newey-West standard errors, or they follow the dictum of Wooldridge and > others and try to introduce more regressors to capture the dynamics. > > Having this as a background, I have two questions: > First, is it really necessary to have two separate menu entries in the > time-series submenu (of Model) for AR(1) and Autoregressive? AFAICS it's > the same stuff, and that submenu is pretty long already. > Secondly, I'd suggest to put the keyword "errors" or "innovations" in those > menu labels, because for me an AR(1) model is just "ols y const y(-1)", not > the other stuff. > > So, instead of "AR(1)" and "Autoregressive estimation" I'd have "With AR > errors". I agree. In fact, I think some restructuring of the Model>Time Series menu may be a good idea. Perhaps, we could move Cochrane-Orcutt etc, which nobody uses anymore, but are nice to have if only for completeness, to "Other linear models" (because that's what they are). I would also like to have a "Multivariate" submenu for all VAR/VECM things.