Re: [Gretl-devel] RFC: $sigma & co.

Am 01.05.2008 14:03, Riccardo (Jack) Lucchetti schrieb: > On Thu, 1 May 2008, Sven Schreiber wrote: > >> Am 01.05.2008 12:54, Riccardo (Jack) Lucchetti schrieb: >> >>> >>> Moreover, we have a slight inconsistency in the way we compute things: >>> $sigma uses the asymptotic formula (ie, E'E over T), while in the >>> displayed equations we use degrees-of-freedom corrected figures for >>> standard errors. I'm not overly bothered by this, but some may. >> >> What about $sigma in other contexts, is that asymptotic or dof-corrected? >> I think that should be made consistent. > > I'm all for consistency in general, but this case is difficult. In OLS > estimation, for example, SSR/T and SSR/(T-k) are both consistent, but the > latter has the additional small advantage of being unbiased under certain > conditions, so that's traditionally what people use. I personally think > it's rather silly to worry about this when you have a decent sample size; > if you don't, well, I doubt very much you should be doing inference _at > all_. > > In other contexts, Tobit models for example, you simply don't have a > choice. In my view, the really important thing is that you know which > formula is used in each case, so that if you feel like re-computing $sigma > to your taste, you have the tools to do it. > I just meant "consistent definition" across the various contexts of $sigma, not consistent in the statistical sense. So if you are saying $sigma for Tobit models is w/o dof correction out of necessity but for OLS it currently is dof-corrected, then I would suggest the rule: "$sigma has a dof correction if at all feasible". That would mean dof correction for the VAR/VECM $sigma. BTW, I remember we had a discussion in the context of the vcv of the betas in the VECM, but I don't remember the result. Is there a dof correction there in the end? (I know I know it's probably in the manual...)