On Fri, Mar 3, 2023 at 10:52 AM Sven Schreiber <sven.schrei...@fu-berlin.de> wrote: > > I suspect that the lrvar function (long-run variance estimation) is slightly > wrong in the panel case. Consider the following example [...]
Well, it's more than slightly wrong: the current function is only applicable to straight time-series data and should not be allowed for panel data. As a stop-gap measure I've put in a block against using it on panel data, with a specific error message. (In git, will shortly be in snapshots.) But what, if anything, _should_ we return for panel data? An average (weighted or unweighted) of the per-unit long-run variance values (as per your script), or a vector of per-unit values, or ...? Allin _______________________________________________ Gretl-devel mailing list -- gretl-devel@gretlml.univpm.it To unsubscribe send an email to gretl-devel-le...@gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-devel.gretlml.univpm.it/
