r.lucchetti(a)univpm.it @ INTERNET skrev 2007-09-05 14:06:49 : > This is a consequence of the fact that in gretl the scaling factor for the > covariance matrix is T (sample size), whereas apparently eviews uses (T-p) > (degrees of freedom). Not sure what PcGive does, but it would seem that a > factor of (T-p-1) is used (maybe lags?). > > Of course, all choices are asymptotically equivalent, but in this > case the difference is noticeable because the sample size is rather > small; maybe we could change policy in gretl and use (T-p) instead?
Or, even better, let the user choose if he/she should use T, (T-p) or (T-p-1)? Andreas
