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".
Thanks,
Sven