Re: . Re: [Gretl-devel] VECM restrictions once again
andreas.rosenblad(a)ltv.se schrieb:
r.lucchetti(a)univpm.it @ INTERNET skrev 2007-09-05 14:06:49 :
> This is a consequence of the fact that in gretl the scaling factor for
the
> covariance matrix is T (sample size), whereas apparently eviews uses
(T-p)
> (degrees of freedom). Not sure what PcGive does, but it would seem that a
> factor of (T-p-1) is used (maybe lags?).
>
> Of course, all choices are asymptotically equivalent, but in this
> case the difference is noticeable because the sample size is rather
> small; maybe we could change policy in gretl and use (T-p) instead?
Or, even better, let the user choose if he/she should use T, (T-p) or
(T-p-1)?
I'm not opposed to user choices, but I think one has to be careful to
avoid cluttering the GUI. Therefore in this case I am inclined to think
that it's not worth an explicit option.
Apart from that I agree that some sort of small sample correction is
desirable. I could look up what PcGive does in the documentation
tomorrow if you like.
/sven