[Gretl-devel] things to test

There are various new things going on that would be nice to have tested as thoroughly as possible. I'll mention 3 points. 1) The build for MS Windows: I've updated my cross-compiler to gcc 4.5.2 and have built new blas and lapack DLLs using lapack 3.3.0. I've also updated the gnuplot build to current CVS. Let me know if this has broken anything, please. 2) Tobit, intreg, heckit: We've re-implemented the tobit command and we now support user-specification of the limit(s) for left- and/or right-censoring. In addition Jack has coded the analytical Hessian for these models and we're experimenting with Newton-Raphson iteration rather than BFGS for finding the MLE. If you work with models of this sort, please try out the new code. 3) Johansen cointegration test in the presence of exogenous regressors. For a long time we've reported the standard asymptotic p-values for the trace and lambda-max tests, while issuing a warning that these are not valid when exogenous regessors are included. We now (after a useful correspondence with Soren Johansen) try to do better: we report critical values for the trace test based on Harbo, Johansen, Nielsen and Rahbek, "Asymptotic Inference on Cointegrating Rank in Partial Systems" (Journal of Business and Economic Statistics 16/4, October 1998). The critical values were re-simulated in gretl with 50,000 replications. There remain some doubts about what to do (a) if the exogenous variables are just dummies, and (b) in the cases where the highest-order deterministic term is unrestricted (i.e. unrestricted constant, or constant plus unrestricted trend). Harbo et al show that the distribution of the trace test contains uneliminable nuisance parameters in the latter cases (and Johansen is not confident that CATS is doing the right thing). Allin