Re: [Gretl-devel] coint2 with exogenous variables

Den 06/11/2011 kl. 04.22 skrev Allin Cottrell: I have some new comments on this thread. First of all I would like hear about the status on the question on restricting the deterministic terms in cointegration testing. To state my view a bit differently: If there exist any defense for testing in the unrestricted models I would really like to know about it because I am only aware of recommendations to avoid those models. Next thing is about the restricted exogenous variables option. I think I have found a new bug. If you run the script you will see the problem. The short run parameters are problematic. Finally I have a comment regarding our discussion of the convention for restricted terms. I thinks the convention in Gretl right now is one of the better solutions. One could also think of a convention where the first differences of the restricted variables were added automatically and the level was lagged one period as it used to be. This would be more in line with CATS. But I think that these two solutions are the most sensible. However, the old convention i Gretl might come from the PcGive documention http://www.doornik.com/pcgive/ section 15.7.1. The funny thing is that I think that the documentation is wrong and that PcGive/PcFiml is doing the same thing as Gretl which the script should also show. It is a bit of a mess to keep track of. Best Andreas open Marriage.xls setobs 1 1947 --time-series genr time genr I76 = (t == 30) lags 1; I76 genr Sh76 = (t >= 30) lags 2; Sh76 genr Tr76 = time * Sh76 lags 2; Tr76 # With restricted broken trend vecm 1 2 Men Women; Sh76 I76; Tr76_2 --crt coint2 1 Men Women; Sh76 I76; Tr76 foreign language=Ox #include <oxstd.h> #import <pcfiml> main() { decl model = new PcFiml(); model.Load("Marriage.xls"); model.Deterministic(FALSE); model.Append(zeros(1976 - 1947, 1) | ones(2010 - 1976 + 1, 1), "Sh76"); model.Append(model.GetVar("Sh76") .* model.GetVar("Trend"), "Tr76"); model.Append(diff0(model.GetVar("Sh76"), 1), "I76"); // Model with restricted broken trend model.Select(Y_VAR, {"Men", 0, 1, "Women", 0, 1}); model.Select(X_VAR, {"Trend", 0, 0, "Tr76", 2, 2}); model.Select(U_VAR, {"Constant", 0, 0, "Sh76", 0, 0, "I76", 0, 0}); model.SetSelSample(-1, 1, -1, 1); model.Estimate(); model.Cointegration(); delete model; } end foreign -- Andreas Noack Jensen Ph.d.-stipendiat Økonomisk Institut andreas.noack.jensen(a)econ.ku.dk Københavns Universitet http://www.econ.ku.dk/phdstudent/noack/ Øster Farimagsgade 5, bygning 26 Tlf.: 353 23094 1353 København K