[Gretl-users] Re: About the PMG package
Am 24.03.2021 um 15:19 schrieb Riccardo (Jack) Lucchetti:
On Wed, 24 Mar 2021, Reynaldo Senra wrote:
> Very much thank you for your quick responses. Attached is a
> screenshot with Eviews and Gretl.
Your message didn't make it to the list, it seems. Perhaps the
screenshot was too large; anyway, I haven't seen it.
> As you will see, everything is identical with the long run and
> loading coefficients. However, the"fullcoeffs" output only
> has identical coefficients for the long run estimates but I dont know
> which are short run estimates because no coefficients are similar to
> the ones in Eviews and "fullcoeffs" does not specify which are short
> and long
> run coefficients (of course I know which are long run because of the
> output). Indeed, apparently, "fullcoeffs" does not report the
> standard errors.
The documentation in section 1.1 explains: "The ordering
is: loading –
(homogeneous) long-run coeffs – lagged
differences – exogenous (including constant)." However, I admit that for
mtype 1 and 2 also the contemporaneous differences of the x-es enter the
picture, and the ordering of the y and x differences inside is not
self-explanatory. So perhaps we could improve the doc in that respect.
Also, you have to make sure the setup is really identical, for example
as regards mtype.
It is true that we don't provide the standard errors, although of course
it wouldn't be difficult. But again, what do you need them for? - An
honest question.
>
> Maybe the way the sort run coefficients are not obtained by OLS in
> Eviews. I don't know, everything is quite confusing for me.
I have the feeling (but I may well be wrong) that Eviews uses the PMG
method for estimating the long-run parameters and the loadings and
then runs a pooled model for producing the short-run parameters.
No no, the short run is heterogeneous of course. I'm quite sure Eview
also just runs separate second-stage OLS regressions, because that's the
best thing one can do.
We need to see the exact specifications I guess. I'm pretty sure I
cross-checked with Eviews for the package update.
cheers
sven