[Gretl-devel] Re: lrvar bug (?) in panels
On Fri, Mar 3, 2023 at 10:52 AM Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
I suspect that the lrvar function (long-run variance estimation) is slightly wrong in the
panel case. Consider the following example [...]
Well, it's more than slightly wrong: the current function is only
applicable to straight time-series data and should not be allowed for
panel data.
As a stop-gap measure I've put in a block against using it on panel
data, with a specific error message. (In git, will shortly be in
snapshots.) But what, if anything, _should_ we return for panel data?
An average (weighted or unweighted) of the per-unit long-run variance
values (as per your script), or a vector of per-unit values, or ...?
Allin