Re: [Gretl-devel] --no-fd-corr in system

On Mon, 6 Jul 2015, fdiiorio(a)unina.it wrote: > dear Gretl team, > > I noticed some problem using --no-df-corr in system using gretl 10.10.1 > (built date 2015-04-04) > > Let the Klein1 model and consider the Consumption equation > > > the command > > estimate "Kl1" method=ols > > give the following results > > Equation 1: OLS, using observations 1921-1941 (T = 21) > Dependent variable: C > > coefficient std. error t-ratio p-value > --------------------------------------------------------- > const 16.2366 1.30270 12.46 5.62e-010 *** > P 0.192934 0.0912102 2.115 0.0495 ** > P_1 0.0898849 0.0906479 0.9916 0.3353 > W 0.796219 0.0399439 19.93 3.16e-013 *** > > > but the std. error reported above refer to an estimation with NO DF > correction > (see Calzolari, 2012, MPRA Paper No. 64415, pag.34, > http://mpra.ub.uni-muenchen.de/64415/) No, the OLS standard errors reported by Calzolari are in fact df-adjusted. Such standard errors are always larger than the corresponding asymptotic ones. Allin Cottrell _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel