On Thu, August 31, 2006 10:49, Sven Schreiber wrote:
> Please try to reproduce the Denmark example you find in
Johansen's book. The
> data are available as denmark.gdt among gretl example datasets. JMulTi seems
> to do strange things with VECMs. I exported the denmark dataset to JMulTi
> format via the new ad-hoc facility: then, I could reproduce the same results
> we have in gretl for almost everything (descriptives, VARs, etc.) but VECMs
> proved impossible. I understand you know the main developer of JMulTi
> personally: it may be a good idea to ask his opinion if/when we're certain
> that results are indeed different.
A quick check doesn't show any problems, exactly the same output. I
suspect that you get bitten by different conventions w.r.t. lag
specification, deterministics etc.
But I don't have Johansen's book with me here right now, so what's the
exact specification you're having trouble with?
Attached you will find gretl's and JMulTi's output for what I believe should
be the same model. You will see the numbers are similar, but definitely not
something you could blame floating-point rounding for. I am using JMulTi 4.04,
as the latest version doesn't like my version of java.
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"