Re:. Re: [Gretl-devel] VECM restrictions once again
r.lucchetti(a)univpm.it @ INTERNET skrev 2007-09-05 14:06:49 :
This is a consequence of the fact that in gretl the scaling factor
for
the
covariance matrix is T (sample size), whereas apparently eviews uses
(T-p)
(degrees of freedom). Not sure what PcGive does, but it would seem
that a
factor of (T-p-1) is used (maybe lags?).
Of course, all choices are asymptotically equivalent, but in this
case the difference is noticeable because the sample size is rather
small; maybe we could change policy in gretl and use (T-p) instead?
Or, even better, let the user choose if he/she should use T, (T-p) or
(T-p-1)?
Andreas