Re: [Gretl-devel] things to test
On Sun, 13 Mar 2011, Artur Tarassow wrote:
Thank you for the new features.
And thanks for testing.
I've got a question regarding the new critical values which
gretl
reports now. I estimate this vecm:
-------------------
open denmark.gdt
coint2 4 LRM LRY ; IBO IDE --rc
-------------------
and obtain the following output:
-------------------
Johansen test:
Number of equations = 2
Lag order = 4
Estimation period: 1975:1 - 1987:3 (T = 51)
Case 2: Restricted constant
Exogenous regressor(s): IBO IDE
Log-likelihood = 402.981 (including c: 258.25)
Rank Eigenvalue Trace test 80% 90% 95% 99%
0 0.40735 36.958
1 0.18250 10.277
--------------------
for which no critical values are reported.
Oof, they were being reported on stdout, not where they should be
going. I didn't notice because I was using gretlcli, where
everything goes to stdout. Fixed in CVS; new snapshots available
shortly.
Secondly, the following model is estimated with the corresponding
p-values; but still with this note at the end:
--------------------
coint2 4 LRM LRY ; IBO IDE --ct
Johansen test:
Number of equations = 2
Lag order = 4
Estimation period: 1975:1 - 1987:3 (T = 51)
Case 5: Unrestricted trend and constant
Exogenous regressor(s): IBO IDE
Log-likelihood = 408.691 (including c: 263.959)
Rank Eigenvalue Trace test p-value Lmax test p-value
0 0.45555 43.161 [0.0000] 31.007 [0.0002]
1 0.21205 12.154 [0.0005] 12.154 [0.0005]
Note: in general, the test statistics above are valid only in the
absence of additional regressors.
--------------------
That result is expected. Since we can't find nuisance-free
asymptotic critical values for "Case 5" plus exogenous vars, we
fall back on reporting the no-exogenous-variables p-values with a
warning. Maybe we could do better; in fact we might be better just
saying that we can't do this test.
Allin