Em 22 de março Allin escreveu:

On Thu, 22 Mar 2012, Henrique Andrade wrote:

> Ok, we will "kill" the automatic series creation in the KPSS test, but what
> about the OLS estimations? In my opinion, Gretl should never create series
> automatically :-)

Ah, you reckon we should destroy any newly created lags after,
for example "ols y 0 x(-1)"?

What do others think of that?

Allin, looking further at this situation I found additional "misbehaviors" related to the automatic series creation. Please estimate the following model via the GUI:

ols PAU const PUS(-1) PAU(-1) --robust

You will notice that no series were created. Now, if you try the same estimation via the command line (CLI), Gretl creates the new series "PUS_1" and "PAU_1". Additionally, it is not possible to delete (via the GUI) "PUS_1" and "PAU_1", even if no models using these variables.

We can see the same behavior in the ARIMA modelling:

arima 1 0 0 ; E PAU(-1) PUS(-1) 0

When we perform VAR and VEC estimations (using GUI or CLI), no variables are generated:

var 4 E PAU PUS --robust
vecm 4 1 E PAU PUS

In conclusion, this plurality of behavior is the main reason I believe the automatic creation of series should be avoided.

Um abraço,
Henrique