[Gretl-devel] RFC: $sigma & co.

[Riccardo (Jack) Lucchetti]

Hi folks,

I've been working on the manual to update the matrix chapter. Only now I 
realise that there is some inconsistency in the way dollar accessors are 
used, with respect to variances/covariances after estimation.

Typically, after a model is estimated, we use $sigma for the residuals and 
$vcv for the parameters. However, this is not always the case; some 
exceptions are well justifed, some less well.

After estimating a system, $sigma holds the covariance matrix of the 
residuals and $vcv the covariance matrix of the parameters of the 
structural form; this is nice and consistent with, say, ols, but is _not_ 
consistent with VAR/VECM estimation, where $vcv holds the cov. mat. for 
the residuals and $sigma is unused. Moreover, we have an accessor ($h) 
only used for garch estimation, which does the same job as $sigma (which 
is unused for garch models), when you take into account that the estimate 
of the conditional variance is not a scalar but a series in these models 
by their very nature.

In order to fix things here, some backward-incompatible changes are 
needed. If you ask me, I'd use $sigma for VAR/VECM/GARCH models 
throughout; I'd scrap $h; I'd implement $vcv as the covariance matrix of 
parameters for VARs. Clearly, this would definitely break a few existing 
scripts.

My question to you is: do you agree with the above? I won't touch the 
source anyway before Monday, because what matters in the end is Allin's 
opinion (that's what benevolent dictators are for). However, what you guys 
think is very important too. So, even if you don't have a strong opinion 
on this, please reply!


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti