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 slightly > 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 > elsewhere? > > 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.