[Gretl-users] Re: Scripting the VAR residual plot
Am 28.08.2019 um 01:12 schrieb Allin Cottrell:
On Tue, 27 Aug 2019, Sven Schreiber wrote:
> This all sounds good. Just one question: What actually happens
in
> cross-section and panel datasets? Cross-section is not such a problem
> because of no lags, but panel? Does t1 and t2 also exist there?
Yes, they do exist for panel data -- when estimation is performed for a
specification that involves multiple sets of residuals or fitted values
represented in matrix form, such as "system" -- but they refer to
starting and ending points that must line up with "individuals", not to
the time-series dimension as such.
I'm afraid I don't really understand this description.
In general I have to say that transferring terminology from the
time-series case to panel data and then partly changing the meaning has
confused me in the past. One example is this documentation snippet from
the setobs command:
"..In the case of panel data the periodicity means the number of lines
per data block: this corresponds to the number of cross-sectional units
in the case of stacked cross-sections..."
The good thing about this is that the documentation is clear and
complete. The downside is that I really wouldn't associate a term like
"periodicity" with number of countries or people.
cheers
sven