Re: [Gretl-devel] coint2 with exogenous variables

Den 04/11/2011 kl. 18.16 skrev Allin Cottrell: I have looked at the problem again and found the error. It is an easy fix, I guess. The restricted variables are lagged one period. For that reason the sample is also changing if the restricted variable is excluded. The attached modified script gives exactly the same results in Gretl and Ox. As a side note I have a small suggestion. It is unfortunate to test cointegration rank in the models with unrestricted deterministic terms so maybe they should not be there. If you really want to work with a model with unrestricted terms after a rank test procedure you can just make the exclusion restriction on he cointegration vectors and I think that is the "right" way to end up in that model. At least I shall suggest that the default is one the models with restricted terms. Best Andreas -- Andreas Noack Jensen Ph.d.-stipendiat Økonomisk Institut andreas.noack.jensen(a)econ.ku.dk Københavns Universitet http://www.econ.ku.dk/phdstudent/noack/ Øster Farimagsgade 5, bygning 26 Tlf.: 353 23094 1353 København K