Re: [Gretl-devel] [Gretl-users] multivariate lrvar?

Am 16.04.2018 um 17:35 schrieb Riccardo (Jack) Lucchetti: > On Mon, 16 Apr 2018, Sven Schreiber wrote: >> Hmm, but look at section 19.3 of the gretl guide. I take it that we refer >> to X'\Omega X = Sigma as the XOX matrix (leaving hats aside). This _is_ >> divided by T because all the Gammas that it is made of have the 1/T >> factor. And consequently Sigma is explicitly referred to as the long-run >> covariance (of X'u), irrespective of whether it's sandwiched or not. >> In contrast, in HAC_XOX I only see running sums, not the 1/T factor that >> makes those things an average. (But I'm not good at reading the gretl C >> code, so I may have missed something.) > > The difference comes from the fact that you have to scale by T if what you > want is a consistent estimator of the long-run covariance matrix of a bunch > of observable variables. > > Conversely, when you use the "sandwich" estimator for the covariance matrix > a vector of estimated parameters, the scaling is unnecessary. Yes, I see what Allin and you mean, but could you please look at the section 19.3 ("Time series data and HAC covariance matrices") and verify that the first five formulas/equations are correct? Because it seems to me there's a contradiction between what you are saying and what is shown there. I mean, either the factor is right or it's wrong, it cannot be "unnecessary" unless the omission is balanced by something else.