Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
Am 15.04.2018 um 15:51 schrieb Allin Cottrell:
On Sun, 15 Apr 2018, Sven Schreiber wrote:
> Plus then expose the HAC_XOX apparatus to a new hansl function
> lrcovar(). Does that sound OK?
Yes. It's now in git.
Wow, that was quick! It works OK here (BTW, your new pacman setup for
MSYS seems to work fine, I could run the package update and then build
from git alright) and is about 30x faster than the hansl function for a
100x2 input tested with 9999 repetitions. This will be very useful to
implement Newey-West style standard errors for estimators which don't
have them built in.
However, jack's longrunvar() function has an additional factor 1/T in
the result, and it seems to me this is correct (thus, missing in lrcovar
as of now).
Another difference is that lrcovar(X) corresponds to longrunvar(X, 1),
assuming demeaned data. The question is whether to make the user
responsible for demeaning or to offer it as an option.
Thanks a lot,
Sven