[Gretl-users] Re: FGLS/WLS estimation
On Tue, 18 Jun 2019, Sven Schreiber wrote:
Am 18.06.2019 um 17:12 schrieb javier.garcia(a)ehu.es:
> Hello everybody;
Hi Javier,
> 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).
1) heterosk.: in a time-series context you typically would test for the
ARCH-variant, and that is available.
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.
Just to amplify Sven's comment: In gretl, $uhat gives the GLS
residuals, and under the Graphs menu in the model window you have the
"Residual correlogram" option, which shows both the ACF and PACF plots
and Q-statistics up to a chosen lag.
In addition, the output of "Statistics based on the rho-differenced
data" shows rho and Durbin-Watson for the GLS residuals.
Finally, you can save $uhat (Save menu, Residuals), regress it on a
constant, and run an autocorrelation test of your choice.
So there's no shortage of means of checking that the GLS residuals are
white noise.
Allin