Re: [Gretl-devel] A GUI comment
On Wed, Jul 13, 2011 at 10:53 AM, Lee Adkins <lee.adkins(a)okstate.edu> wrote:
Why is the tab for accessing the Robust options labelled HCCME? Only
one of
the choices is HCCME (cross-section). Wouldn't it make more sense to label
it ROBUST since it determines the behaviour of the robust option for ts,
panel and GARCH?
Well, I believe that every option under that heading is literally an HCCME
(Heteroskedasticity-Consistent Covariance Matrix Estimator). The term is
not quite exact, agreed, since some of the estimators are also
autocorrelation-constant, and therefore HACCMEs.
My feeling is that the term "robust" is a bit vague. Admittedly, in
mainstream econometrics it's most associated with robust covariance
matrix estimation, but IMO it has as good or better reason to be
associated with robust parameter estimation (e.g. via LAD).
If brevity wasn't an issue, I'd label this tab "Robust Covariance Matrix
Estimation". I'm open to suggestions on an improved brief version.
Allin Cottrell