Re: [Gretl-devel] coint2 with exogenous variables
Den 16/11/2011 kl. 22.49 skrev Allin Cottrell:
Sorry for the delay. I've put the working paper I mentioned at
http://www.wfu.edu/~cottrell/tmp/coint_model.pdf
Thank you for the link. Turner's article seems a bit odd to me so it is good that you
object to his conclusions. Without really noting it he exercises the problems of using the
unrestricted model (on data without a trend). Problems which are described in Johansens
book and many other places. I wonder about the relation between the editor of the journal,
the author of the preferred software package, the author of the article with the preferred
critical values and the acceptance of his article.
Looking back at my gretl version of Bartlett correction, I
realize that I didn't yet make it into a package. For the
present I'm posting it in the form of a regular script,
containing the function bartlett_correct:
http://www.wfu.edu/~cottrell/tmp/johansen-bartlett.inp
Thank you. I'll take a look at it.
It's not thoroughly checked at this point -- all I can say is
that it produces the same results as Johansen's RATS program
for some inputs.
Allin Cottrell
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Andreas Noack Jensen
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