Re: [Gretl-devel] coint2 with exogenous variables
On Sat, 5 Nov 2011, Sven Schreiber wrote:
> On 11/05/2011 09:35 PM, Allin Cottrell wrote:
>> On Sat, 5 Nov 2011, Andreas Noack Jensen wrote:
>>
>> Yes, I came to the same conclusion, and I've just committed a change
>> to gretl CVS that renders the results the same (from gretl and Ox)
>> for your original script.
I have just installed and tested it. Great job. Thank you.
>
> I'm not sure but could it be that we had discussed the question of
> whether the exogenous restricted variables should be lagged or not?
> Ultimately it's a matter of convention, of course, but what I may have
> argued back then is this: since the error correction term also (usually)
> appears with a t-1 index, I'd say it's not wrong to include x_{t-1}
> instead of x_t.
That is right and this is also the notation of Harbo et al. but I think it is confusing if
the restricted and unrestricted exogenous variables are treated differently with respect
to lags. After Allins change exogenous variables are taken literally and you are free to
include the lagged variables as restricted if you want.
I would guess that in the vecm field the "industry standard" is pcgive/ox.
If we're unsure on a convention, I'd rather follow Doornik.
As far as I can see, OxMetrics has not really a convention on this. You can include what
you want, but variables are taken literally so with Allin's change one could say we
are in line with Doornik.
>>
>> You're suggesting that we shouldn't allow including unrestricted
>> deterministic terms in cointegration testing (though we should allow
>> them in VECM specifications, having determined cointegrating rank)?
>>
>
Yes something like that. I cannot see why you would want to determine rank in the models
with unrestricted terms but I do see that people do that. I tend to believe it is because
people are unaware of the similarity problems. If you don't want the trend in the
cointegration relation it is easily excluded afterwards with linear restrictions on the
cointegration vectors and hence the unrestricted models are not needed at all. At least if
you could get the full output after imposing restrictions, so that would be another
suggestion from my side.
> I think you must take into account that he has been trained in
> Copenhagen…
I guess that fact cannot disqualify me when the topic is cointegration i VECMs
> They put a lot of emphasis on separating the cointegration
> rank determination from the specification of the deterministics.
Is this controversial?
> We can
> discuss this further if you like, but I am certainly strongly against
> disabling some of the possible test setups. Note that the most
> widespread case of an unrestricted constant also belongs to that category.
But as mentioned above. You do not loose that model. It is just a restriction. However, my
main point is that it should't be the default.
Sven, my man!!!
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti______________________________________...
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Andreas Noack Jensen
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Økonomisk Institut andreas.noack.jensen(a)econ.ku.dk
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