[Gretl-users] Re: About the PMG package
On Wed, 24 Mar 2021, Sven Schreiber wrote:
>> 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.
Uhm, but in that case I don't really understand what eviews reports: it
looks as if theh have only _one_ coefficient per short-run variable (as
opposed to having N). Maybe those are cross-sectional averages? And if so,
how are the standard errors computed?
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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