[Gretl-devel] --no-fd-corr in system

Allin Cottrell cottrell at wfu.edu
Tue Jul 7 14:59:09 EDT 2015


On Mon, 6 Jul 2015, fdiiorio at unina.it wrote:

> dear Gretl team,
>
> I noticed some problem using --no-df-corr in system using gretl 10.10.1
> (built date 2015-04-04)
>
> Let the Klein1 model and consider the Consumption equation
>
>
> the command
>
> estimate "Kl1" method=ols
>
> give the following results
>
> Equation 1: OLS, using observations 1921-1941 (T = 21)
> Dependent variable: C
>
>            coefficient   std. error   t-ratio    p-value
> ---------------------------------------------------------
> const      16.2366       1.30270      12.46     5.62e-010 ***
> P           0.192934     0.0912102     2.115    0.0495    **
> P_1         0.0898849    0.0906479     0.9916   0.3353
> W           0.796219     0.0399439    19.93     3.16e-013 ***
>
>
> but the std. error reported above refer to an estimation with NO DF 
> correction
> (see Calzolari, 2012, MPRA Paper No. 64415, pag.34, 
> http://mpra.ub.uni-muenchen.de/64415/)

No, the OLS standard errors reported by Calzolari are in fact 
df-adjusted. Such standard errors are always larger than the 
corresponding asymptotic ones.

Allin Cottrell


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