[Gretl-users] Re: FGLS/WLS estimation
Am 19.06.2019 um 01:08 schrieb javier.garcia(a)ehu.es:
2) autocorrelation: What you're saying sounds natural at first,
but guess what other software are saying when you ask for such a diagnostic test after
AR-estimation: "Not available with this estimation method (ARMA ML)." (This is
from Eviews 10.) You do get the residual correlogram and the Q-stats.
RESPONSE:
This is something that we usually do with our students. Once they have estimated the
model by means (for example) of Cochrane-Orcutt, they check whether the autocorrelation
has been correctly "removed". As Gretl does not give that option, in my opinion
the "automatic" FGLS estimation loses atractiveness, as one has to transform the
model and apply OLS "by hand". That is why I suggested activating the
autocorrelation test option.
What I meant is that there is an underlying econometric reason why that
particular test is de-activated, both in gretl and (for example) in
Eviews. The point is that it is not simply a question of programming
effort to add that. (I am not trying to defend the estimation with AR
error terms, in fact personally I much favor an OLS-based ARDL approach.
But that is not the issue here.)
One might argue that it isn't optimal that the autocorrelation tests are
distributed over two menus (in the model window): one is in 'Tests' (and
that's the one which is deactivated), while the other one is in 'Plots'...
3) ...
RESPONSE:
Yes, lets use data7-24.gdt
I will look at that one later, don't have the time. Or perhaps somebody
else...
4) Finally, in the WLS estimator option the residuals are the
originals,
and not the weighted ones. ...
In the WLS estimation the residuals that Gretl saves are the original ones, whereas in
the FGLS estimation are the transformed ones. It is true that WLS is just a way to get
good estimators, but the propierties of these estimators will depend on the fact that
residuals in the transformed model satisfy the basic assumptions.
If there really is a difference in gretl's behavior in that respect
between WLS and AR, that would indeed not be good I think. I also agree
that it is useful that the transformed residuals could be checked. I'm
not sure right now whether there isn't some other way to get those
(except in the manual way, of course). (Again, cannot check ATM.)
Provided it isn't possible already, perhaps it would be an idea to offer
both.
cheers
sven