Re: [Gretl-devel] RFC: $sigma & co.
Am 30.04.2008 23:16, Riccardo (Jack) Lucchetti schrieb:
On Wed, 30 Apr 2008, Allin Cottrell wrote:
> On Mon, 28 Apr 2008, Sven Schreiber wrote:
>
> [re, reorganizing the $sigma and $vcv accessors]
>
>> Although I will be one of the (few?) affected users I agree with
>> Jack that $vcv should be changed, especially because it's very
>> simple to change $vcv to $sigma to get the scripts working
>> again. (And I like the functionality that $vcv will deliver in
>> VAR/VECM contexts.)
>
> OK.
Coding $vcv for VARs should be quite easy. I'll try to see to that
tomorrow. Things are a bit trickier for VECMs. Should we return the
v-cov matrix of the coefficients in VECM or VAR form?
I think the VECM form is more natural for the user if she specified a
VECM. Also the vcv for the levels-VAR form would be singular, no? (I
guess you don't care too much about that, but still.)
-sven