On Thu, 19 Jan 2012, Sven Schreiber wrote:
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.)
Yes, I think that's right.