Am 12.11.2013 16:13, schrieb Claudio Shikida (敷田治誠 クラウジオ): > Thanks, Sven. > > I just got it in R (well, but it would be great to do it in Gretl too, > at least for comparison of algorithms) but the features of lag-lead and > sandwich for the t-statistics could be two good reasons to create a time > series submenu. > >
BTW, so far I was only thinking about the point estimates, and there it's just a matter of how to create the needed regressors. For the adjustment of the t-stats of course a package that does it all-in-one could be useful. This would actually be an excellent use case of user-contributed function packages, now that those can also be plugged into the menus. I can commit to producing this in the Christmas break, if someone reminds me ;-) Or if you cannot wait, do it yourself... cheers, sven
