[Gretl-users] Re: About the PMG package
Am 24.03.2021 um 16:35 schrieb Riccardo (Jack) Lucchetti:
printf "\naverage coefficients:\n%12.5f\n", meanr(b.fullcoeffs)
</hansl>
This is close enough to the output you get from Eviews in the video.
It remains too be seen how the standard errors are computed.
Exactly like we do in our MG routine (only that we don't apply it to the
short-run coeffs in the case with homogeneous long-run coeffs).
Of course we could add all this at some point, when we have the time.
But again, I'd like to know for which purpose. I've always been
skeptical about the meaning and interpretation of MG estimates, given
the assumption of no common structure.
cheers
sven