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

Hi folks, I've been working on the manual to update the matrix chapter. Only now I realise that there is some inconsistency in the way dollar accessors are used, with respect to variances/covariances after estimation. Typically, after a model is estimated, we use $sigma for the residuals and $vcv for the parameters. However, this is not always the case; some exceptions are well justifed, some less well. After estimating a system, $sigma holds the covariance matrix of the residuals and $vcv the covariance matrix of the parameters of the structural form; this is nice and consistent with, say, ols, but is _not_ consistent with VAR/VECM estimation, where $vcv holds the cov. mat. for the residuals and $sigma is unused. Moreover, we have an accessor ($h) only used for garch estimation, which does the same job as $sigma (which is unused for garch models), when you take into account that the estimate of the conditional variance is not a scalar but a series in these models by their very nature. In order to fix things here, some backward-incompatible changes are needed. If you ask me, I'd use $sigma for VAR/VECM/GARCH models throughout; I'd scrap $h; I'd implement $vcv as the covariance matrix of parameters for VARs. Clearly, this would definitely break a few existing scripts. My question to you is: do you agree with the above? I won't touch the source anyway before Monday, because what matters in the end is Allin's opinion (that's what benevolent dictators are for). However, what you guys think is very important too. So, even if you don't have a strong opinion on this, please reply! Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti