[Gretl-devel] Re: VECM estimation: gretl vs JMulTi
Riccardo Jack Lucchetti schrieb:
Attached you will find gretl's and JMulTi's output for what I believe should
be the same model. You will see the numbers are similar, but definitely not
something you could blame floating-point rounding for. I am using JMulTi 4.04,
as the latest version doesn't like my version of java.
Ok I can reproduce that. As I suspected, the difference seems to relate
to deterministic terms, namely the treatment of seasonals.
It very much looks like the seasonals in Jmulti are not centered, which
makes a difference if you have a restricted constant, as you know.
So this is a problem of Jmulti which is not nice at all, and thank you
for pointing it out. I'll contact Markus (the jmulti man) about it, but
I think he's on vacation right now.
-sven