Re: [Gretl-devel] strange warning, Johansen test with restricted vars

Am 18.01.2012 23:30, schrieb Allin Cottrell: > >> * The displayed warning says "Warning: the p-values shown are for the >> case of a restricted trend", which is kind of strange. Does it actually >> mean what it says? (It can't, really, because this would contradict the >> output relating to exo I(1) variables...) > > Hmm. The intent (and I think the actuality) is that that warning is > printed only when the user has selected the "unrestricted constant" > case. But since that case is statistically weird we drop back to the > "closest" less-weird case, namely the restricted trend (as does > CATS, I believe). The assumption is that the "exo I(1)" variables in > question are something other than constant or trend. > So do you (and the printed warning message) mean that the critical values refer to the case of: a restricted trend, plus an unrestricted constant, plus an exogenous and restricted I(1) variable? (Where the specification did not include the restricted trend.)