Am 18.06.2019 um 17:12 schrieb javier.garcia(a)ehu.es:
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.
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.
Here it would help if you could give a concrete (but ideally very
simple) example, so that we know which numbers you're talking about, and
what you want them to be. (And BTW, have you read command reference for
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).
Not sure I agree, but what do you mean with "the residuals"? Which
object grabbed from which menu or accessor? But in any case, if I view
WLS just as a certain way to get good estimators, I'm still interested
in the original equation, with the original error terms.
> Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
> To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
> Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/