[Gretl-devel] wishes

[Riccardo (Jack) Lucchetti]

On Thu, October 26, 2006 18:05, Ignacio Díaz-Emparanza wrote:
> I would to ask for two new features:
>
> -Complete the CUSUM test (and graphic) with the CUSUMSQ (CUSUM of Squares)
> test. See Chapter 7 in Greene's Book or page 155 in Harvey's  "The
> Econometrics Analysis of Time Series" (The table for c_0 is here),
> -Provide a command (similar to "corr") to calculate a cross-correlogram
> between two series.
>

These sound rather easy. Unfortunately, neither Allin nor I will be able to
work very much on gretl in the next few days. If anyone wants to have a go at
CUSUM, the actual calculation takes place in the function cusum_test(), at
line 1965 of the file lib/src/compare.c.

As for the cross-correlogram, would the name "xcorrgm" suit you? Or maybe, in
order to avoid command proliferation, we could revise the existing syntax of
corrgm to accommodate two series instead of one. One possibility that comes to
my mind is

corrgm order ; y # for the ordinary correlogram
corrgm order ; y x # for the cross-correlogram

However, this would have the nasty side-effect of breaking existing scripts. A
backward-compatible syntax could be

corrgm y order x

where x is an optional parameter, but it looks a bit awkward to me. Opinions?

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona