Hi,
I think I was the one to suggest a warning in the Johansen test output
when including exogenous variables. Now I have noticed (have been
alerted) the following:
* gretl now also outputs p-values for the case of exogenous I(1)
variables -- I vaguely seem to remember a discussion about this, and
it's cool of course. I think it would be helpful, however, to give a
reference in the output to what setup (article) this refers. (Or maybe
not in the output but in the command reference for coint2, but I
couldn't find anything there, either.)
* The displayed warning says "Warning: the p-values shown are for the
case of a restricted trend", which is kind of strange. Does it actually
mean what it says? (It can't, really, because this would contradict the
output relating to exo I(1) variables...)
thanks,
sven