[Gretl-devel] VECM estimation: gretl vs JMulTi

> 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?