Re: [Gretl-devel] coint2 with exogenous variables
On 11/04/2011 06:16 PM, Allin Cottrell wrote:
On Fri, 4 Nov 2011, Andreas Noack Jensen wrote:
> I am fitting a VECM with exogenous variables i Gretl but I
> think something is wrong because I have fitted (what I
> believe to be) the exact same model i Ox and and almost
> identical model i CATS and the results differ. Please take a
> look at the script [...]
Thanks, Andreas. I've taken a first look, and I see that the
differences with Ox are confined to the case of the restricted
exogenous variable. That is, if I omit the restricted broken
trend, Tr76, from the analysis but leave everything else the
same, the results agree perfectly. So I'll try to track down
the source of the difference with Tr76 added.
For those who cannot or don't want to run the example in Ox, could you
tell us which of the results are different? For example, the broken
trend variable is probably not identical across programs, because the
normalizations of "time" and "Trend" are different. But I suppose
that
fact and the differences which it implies are not what you guys are
referring to?
thanks,
sven