On Wed, 30 Jan 2013, Clive Nicholas wrote, in response to: >> In the gretl output "rho" is the first-order autocorrelation >> of the residuals. Perhaps you're thinking of the random >> effects model, for which we have to calculate the within and >> between error variances (to get what gretl calls "theta", the >> quasi-demeaning coefficient). In that case we do print both >> variances.
the following: > Sorry, but I don't see reference to a 'quasi-demeaning coeffiecent' > anywhere in the results, and any reference to 'theta' in the manual is in > the context of ARMA models [...] Quasi-demeaning is relevant only in the context of the random effects model, so nothing pertaining to this appears in gretl's fixed-effects output. The "theta" is question is discussed in section 17.1 of the Gretl User's Guide, on panel-data models. For the fixed-effects or "within" model one just uses straightforwardly de-meaned data. Allin Cottrell
