[Gretl-users] FGLS/WLS estimation

Hello everybody; I would like to make a suggestion regarding the FGLS/WLS estimator implementation in Gretl. When we have a model where the errors present autocorrelation (for example, an AR(1) process), and we try to get the estimated model this way: Model->Time Series->AR errors (GLS) -> AR(1), some post-estimation tests/results… are disabled. In particular, no autocorrelation and/or heteroskedasticity tests can be implemented (Tests->Heteroskedasticity or Tests->Autocorrelation). My question is: why does this happen? I think that it would be very useful if these options were active. Otherwise, after running FGLS there is no possibility to check whether the autocorrelation has been “corrected”, unless we run the regressions "by hand". Something similar happens with WLS estimator for the case in which errors show heteroskedasticity. Furthermore, I think that in this case the Total Sum of Squares (TSS) based on the weighted data is not properly calculated, because if we run an OLS regression on the weighted variables all the statistics depending on the TSS (R-squared, Adjusted R-squared, F value and its p-value…) are different (however, the sum of the squared residuals, the S.E. of the regression, etc. are right). I suspect that Gretl is mixing the original dependent variable and the weighted results. Why? Because when FGLS estimator is applied to deal with the autocorrelation problem (for example using Cochrane-Orcutt), statistics based on the rho-differenced data give the mean (and the standard deviation) of the original dependent variable, whereas all the other statistics are based on the weighted data. Finally, in the WLS estimator option the residuals are the originals, and not the weighted ones. This should be also changed (with the FGLS estimator this does not happen, being the residuals the weighted ones). Best Javi