Re: [Gretl-devel] coint2 with exogenous variables
On Sat, 5 Nov 2011, Allin Cottrell wrote:
On Sun, 6 Nov 2011, Andreas Noack Jensen wrote:
> [My] main point is that it should't be the default.
(where "it" = testing for cointegrating rank in the presence of an
unrestricted exogenous variable).
Hmm, the "default" is in a sense up to the user. It may be
that
it's unwise to test for cointegration while including unrestricted
exogenous terms. But as you've illustrated, Ox is "quite happy" to
do that if it's what the user requests [...]
Sorry, I now realize that the above doesn't meet your point: At
present the default specification of deterministics in gretl's
"coint2" is the case of the unrestricted constant. Jack, Sven:
should we reconsider this? Andreas is surely right that is one of
the more problematic cases?
Allin