El Jueves, 26 de Octubre de 2006 18:24, Riccardo (Jack) Lucchetti escribió:
On Thu, October 26, 2006 18:05, Ignacio Díaz-Emparanza wrote:
> I would to ask for two new features:
> -Complete the CUSUM test (and graphic) with the CUSUMSQ (CUSUM of
> Squares) test. See Chapter 7 in Greene's Book or page 155 in Harvey's
> "The Econometrics Analysis of Time Series" (The table for c_0 is here),
> -Provide a command (similar to "corr") to calculate a cross-correlogram
> between two series.
These sound rather easy. Unfortunately, neither Allin nor I will be able to
work very much on gretl in the next few days. If anyone wants to have a go
at CUSUM, the actual calculation takes place in the function cusum_test(),
at line 1965 of the file lib/src/compare.c.
As for the cross-correlogram, would the name "xcorrgm" suit you?
This is good for me.
It is good not to have too many commands, but I think we should think in
mantaining the structure of the commands easy, so I think it is better to
have two different simple commands that have a unic difficult one (as in R).
Dpto. de Economía Aplicada III (Econometría y Estadística)