Am 22.08.2008 12:38, andreas.rosenblad(a)ltv.se schrieb:
svetosch(a)gmx.net @ INTERNET skrev 2008-08-22 12:34:52 :
> Am 21.08.2008 16:46, Riccardo (Jack) Lucchetti schrieb:
> I just updated
>> the entry for "arch" so that it now reflects your thoughts and mine.
>>> On the wiki page you clarify what gretl's arch does exactly, which I
> didn't know. So if I understand correctly, the difference between 'arch'
> and 'garch' without the "generalized" (MA) terms is not just a
> different numerical algorithm, but really a different estimator. And the
> arch estimator is not the "usual" ML. In that case I guess I would agree
> to remove arch. Or is the approach that is used for 'arch' widespread
> Re the Engle-Granger test and Allin's question: AFAIK and kind of
> trivially, the Johansen test is asymptotically optimal if all
> assumptions about the DGP are met. This should include Gaussian
> innovations. But the Johansen test is known to have severe small-sample
> distortions. For this and other reasons I think it is perfectly
> reasonable to have a variety of cointegration tests. Instead of ditching
> Engle-Granger I think the goal should actually be to have more tests
> available (but of course this should primarily be done through
> user-contributed function packages).
I agree that no test or function should be removed, and that the goal
should be to have more tests.
I was just thinking, maybe consolidate 'coint' and 'coint2' into a
single 'coint' command with options that determine which test would be used?
So Johansen could become the default because it's the industry standard
(but I'm not really pushing this aspect):
coint --- would do what coint2 does now,
and the Engle-Granger syntax would become something like:
coint myvar1 myvar2 --eg
If it is decided that some additional cointegration test should be
elevated from user-contributed status to a built-in thing, this would
just become a new option:
coint myvar1 myvar2 --best-cointegration-test-ever
Also, for panel data I guess the 'coint' command could be enhanced to do
some panel cointegration test (think coint --ips or coint --lls or
something, but I mean as a possibility in the future, not now).
What do you think?