Re: [Gretl-devel] things to test

Thanks for your reply and the new cvs, Allin. I've got an issue left. Unfortunately, I do not have access to the Harbo et al article. I am just a little bit confused by what is meant by "exogenous"? In the case one has weakly exogenous I(1) variables, I used to take the critical values (for all 5 cases) reported in "Pesaran, M.H., Shin Y., Smith, R.J. (2000). Structural analysis of vector error correction models with exogenous I(1) variables. Journal of Econometrics 97:293-343." Are those critical values provided by Harbo et al. also applicable for this scenario with weakly exogenous I(1) variables, or are they only useful for unrestricted I(0) variables (for the cases were one can find nuisance-free asymptotic critical values)?? Cheers, Artur