Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
Am 16.04.2018 um 18:38 schrieb Riccardo (Jack) Lucchetti:
On Mon, 16 Apr 2018, Sven Schreiber wrote:
> Right, that as well. But with the T-factor now Sigma won't be
the
> long-run cov matrix of that animal anymore, that was my other point.
Uhm, no. The present expression for $\Sigma$ would be right in that
case, since the quantity $V($x_t \cdot u_t)$ is independent of $T$,
whereas $E(X'uu'X)$ isn't.
Granted, but \hat{\Sigma} as such wouldn't be an estimator of \Sigma
anymore, would it?
But maybe I'm now lost in what version of the paragraph and formulas
we're talking about.
-s