Re: [Gretl-devel] menus AR(1) / autoregr. / vs. "ordinary" AR

-----Original Message----- From: gretl-devel-bounces(a)lists.wfu.edu [mailto:gretl-devel- bounces(a)lists.wfu.edu] On Behalf Of Riccardo (Jack) Lucchetti Sent: Tuesday, May 02, 2017 5:17 AM To: Gretl development Subject: Re: [Gretl-devel] menus AR(1) / autoregr. / vs. "ordinary" AR On Tue, 2 May 2017, Sven Schreiber wrote: > Hi, > > although I do a lot of time series, I don't usually use the methods > that come under the heading of "time-series AR(1)" or "autoregressive" > (that is Cochrane-Orcutt etc.). Indeed I would claim that those are in > general not much used anymore -- either people use ARIMA(X) estimators > (with AR as special cases), or they estimate with autocorrelation and > then apply Newey-West standard errors, or they follow the dictum of > Wooldridge and others and try to introduce more regressors to capture the dynamics. > > Having this as a background, I have two questions: > First, is it really necessary to have two separate menu entries in the > time-series submenu (of Model) for AR(1) and Autoregressive? AFAICS > it's the same stuff, and that submenu is pretty long already. > Secondly, I'd suggest to put the keyword "errors" or "innovations" in > those menu labels, because for me an AR(1) model is just "ols y const > y(-1)", not the other stuff. > > So, instead of "AR(1)" and "Autoregressive estimation" I'd have "With > AR errors". I agree. In fact, I think some restructuring of the Model>Time Series menu may be a good idea. Perhaps, we could move Cochrane-Orcutt etc, which nobody uses anymore, but are nice to have if only for completeness, to "Other linear models" (because that's what they are). I would also like to have a "Multivariate" submenu for all VAR/VECM things.