[Gretl-devel] backward incompatibilities

[andreas.rosenblad at ltv.se]

svetosch at gmx.net @ INTERNET skrev 2008-08-22 12:34:52 :

> Am 21.08.2008 16:46, Riccardo (Jack) Lucchetti schrieb:
>
>  I just updated
> > the entry for "arch" so that it now reflects your thoughts and mine.
> > > On the wiki page you clarify what gretl's arch does exactly, which I
> didn't know. So if I understand correctly, the difference between 'arch'
> and 'garch' without the "generalized" (MA) terms is not just a slightly
> different numerical algorithm, but really a different estimator. And the
> arch estimator is not the "usual" ML. In that case I guess I would agree
> to remove arch. Or is the approach that is used for 'arch' widespread
> elsewhere?
>
> Re the Engle-Granger test and Allin's question: AFAIK and kind of
> trivially, the Johansen test is asymptotically optimal if all
> assumptions about the DGP are met. This should include Gaussian
> innovations. But the Johansen test is known to have severe small-sample
> distortions. For this and other reasons I think it is perfectly
> reasonable to have a variety of cointegration tests. Instead of ditching
> Engle-Granger I think the goal should actually be to have more tests
> available (but of course this should primarily be done through
> user-contributed function packages).


I agree that no test or function should be removed, and that the goal
should be to have more tests.

Best regards
Andreas