On Mon, 14 Nov 2011, Andreas Noack Jensen wrote:
Den 14/11/2011 kl. 00.43 skrev Allin Cottrell:
>
> I've put my view on unrestricted deterministic terms briefly. I have
> a working paper that's somewhat relevant. Tomorrow I'll dig that out
> and post a link.
Thanks. I'll take a loop at it.
>
> Some months ago Prof Johansen was good enough to send me his RATS
> code for the Bartlett correction, and I translated it to gretl in a
> function package. Since there seems to be interest I'll dust that
> off and make it available.
Perfect. That would be a great to have in Gretl. Sometimes
the difference between the corrected and uncorrected values
is quite substantial.
Sorry for the delay. I've put the working paper I mentioned at
http://www.wfu.edu/~cottrell/tmp/coint_model.pdf
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
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