7:14 a.m.
Hi,
I'm looking at the 'coint' (Engle-Granger test) command and
corresponding GUI interface more closely right now and have a couple of
questions.
- In a list message in 2013 Allin wrote that the test-down option now
has "MAIC" by default, and "MBIC" also exists. There is nothing in the
documentation about it, pointing to the adf command which talks about
"AIC" and "BIC" instead. So is that information obsolete, or what is
the
situation? BTW, in the GUI there is no way to influence the test down
method.
- Related to the test-down thing: In the coint output the number of
finally included lagged differences is very much hidden. While the max
lag order is printed out, the optimal lag order AFAICS is only
implicitly given as the numerator d.o.f. in the corresponding F-test. I
suggest that this is made as explicit as in the adf output.
- adf and coint2 have a --seasonals option, but 'coint' doesn't,
according to the doc and the missing GUI item. Any particular reason why?
That's it so far. Thanks!
Sven
12:55 p.m.
On Mon, 12 Nov 2018, Sven Schreiber wrote:
I'm looking at the 'coint' (Engle-Granger test) command
and corresponding GUI
interface more closely right now and have a couple of questions.
- In a list message in 2013 Allin wrote that the test-down option now has
"MAIC" by default, and "MBIC" also exists. There is nothing in the
documentation about it, pointing to the adf command which talks about "AIC"
and "BIC" instead. So is that information obsolete, or what is the situation?
I may have "misspoken" in my original message on this in 2013. What we
actually did at that time, or not long thereafter, was to replace use
of the t-statistic as the (only) test-down criterion with a choice of
AIC, BIC or t-statistic, with AIC as the default. However, the
Modified AIC and BIC are specific to the ADF-GLS method. So, for
example, if you specify --test-down=BIC then MBIC is used with GLS,
plain BIC otherwise (and similarly for AIC).
BTW, in the GUI there is no way to influence the test down method.
That's now rectified in git. I've also added a verbose switch.
- Related to the test-down thing: In the coint output the number of
finally
included lagged differences is very much hidden. While the max lag order is
printed out, the optimal lag order AFAICS is only implicitly given as the
numerator d.o.f. in the corresponding F-test. I suggest that this is made as
explicit as in the adf output.
OK, done in git.
- adf and coint2 have a --seasonals option, but 'coint'
doesn't, according to
the doc and the missing GUI item. Any particular reason why?
I guess not. But if we enabled it for "coint" would we want to include
the seasonals in the final regression (ADF test on uhat from the
cointegrating regression)? Or only in the initial ADF tests?
Allin
1:16 p.m.
Am 13.11.2018 um 18:55 schrieb Allin Cottrell:
On Mon, 12 Nov 2018, Sven Schreiber wrote:
I may have "misspoken" in my original message on this in 2013. What we
actually did at that time, or not long thereafter, was to replace use
of the t-statistic as the (only) test-down criterion with a choice of
AIC, BIC or t-statistic, with AIC as the default. However, the
Modified AIC and BIC are specific to the ADF-GLS method. So, for
example, if you specify --test-down=BIC then MBIC is used with GLS,
plain BIC otherwise (and similarly for AIC).
OK
That's now rectified in git. I've also added a verbose switch.
...
OK, done in git.
Excellent, thanks!
> - adf and coint2 have a --seasonals option, but 'coint'
doesn't,
> according to the doc and the missing GUI item. Any particular reason
> why?
I guess not. But if we enabled it for "coint" would we want to include
the seasonals in the final regression (ADF test on uhat from the
cointegrating regression)? Or only in the initial ADF tests?
Well, I haven't talked about the initial ADF tests, because in my view
they are not part of the Engle-Granger test which presupposes I(1)
variables I'd say. (BTW Jack, take note how there is an almost
officially endorsed pre-testing problem here, when you wanted to get rid
of something much weaker in the BoxCoxFuncForm package ;-)
What I meant was in the same place where all other deterministics
appear, in the cointegrating regression. (And by implication then also
in the previous ADF tests, if selected, I guess.) Definitely not also in
the final residual test regression.
As an imaginary example, suppose you wanted to test a Fisher-type
relationship for cointegration. So you have a nominal interest rate
which is not seasonal, and then you have inflation which is seasonal.
(And for the various good reasons out there you don't want to use
seasonally adjusted data.) If you ran the Engle-Granger 1st stage
regression without seasonal dummies, your residuals inherit the seasonal
pattern. If you run the 2nd stage on them, chances are that that pattern
is mistaken for mean reversion -> potentially spurious cointegration.
(Yes, with enough lags the pattern could implicitly be modelled as
seasonal quasi-unit roots. But it would still be misspecified.)
thanks,
sven
6:12 p.m.
On Tue, 13 Nov 2018, Sven Schreiber wrote:
Am 13.11.2018 um 18:55 schrieb Allin Cottrell:
> On Mon, 12 Nov 2018, Sven Schreiber wrote:
[...]
>> - adf and coint2 have a --seasonals option, but 'coint' doesn't,
according
>> to the doc and the missing GUI item. Any particular reason why?
>
> I guess not. But if we enabled it for "coint" would we want to include the
> seasonals in the final regression (ADF test on uhat from the cointegrating
> regression)? Or only in the initial ADF tests?
Well, I haven't talked about the initial ADF tests, because in my view they
are not part of the Engle-Granger test which presupposes I(1) variables I'd
say. [...]
What I meant was in the same place where all other deterministics appear, in
the cointegrating regression. (And by implication then also in the previous
ADF tests, if selected, I guess.) Definitely not also in the final residual
test regression.
OK, makes good sense. That interpretation of the --seasonals option
for "coint" is now in git. The doc still needs updating; hopefully
that (and revised snapshots) will follow tomorrow.
Allin
2:35 a.m.
Am 14.11.18 um 00:12 schrieb Allin Cottrell:
OK, makes good sense. That interpretation of the --seasonals option
for "coint" is now in git. The doc still needs updating; hopefully
that (and revised snapshots) will follow tomorrow.
I have tested the new snapshot and it's in there alright. Impressive how
the new items automatically appears in the local language (though I know
that's because it's referencing existing strings).
There's one remaining glitch AFAICS for the case of no constant
especially. The regular seasonal dummies have a non-zero mean (over
time), so they implicitly introduce a constant (as you know). Thus if
the user chooses no constant, centered seasonal dummies should be used.
It's probably the best way to use centered dummies always.
Plus the --seasonals option isn't honored apparently in the previous ADF
tests when --nc is given, as in this:
<hansl>
open australia
coint 3 IAU IUS --test-down --seasonals --nc # no seas dums in ADF steps
coint 3 IAU IUS --test-down --seasonals # with seas dums
</hansl>
Actually it seems that this is an inherited bug from the ADF routine,
because when I do
<hansl>
open australia
adf 3 IAU --seasonals --nc --verbose
</hansl>
then the seasonals are also ignored. (Of course they must be centered,
as above.)
Maybe this behavior predates the introduction of centered dummies in gretl?
thanks,
sven
12:10 p.m.
On Thu, 15 Nov 2018, Sven Schreiber wrote:
Am 14.11.18 um 00:12 schrieb Allin Cottrell:
>
> OK, makes good sense. That interpretation of the --seasonals option for
> "coint" is now in git. The doc still needs updating; hopefully that (and
> revised snapshots) will follow tomorrow.
I have tested the new snapshot and it's in there alright. Impressive how the
new items automatically appears in the local language (though I know that's
because it's referencing existing strings).
There's one remaining glitch AFAICS for the case of no constant especially.
The regular seasonal dummies have a non-zero mean (over time), so they
implicitly introduce a constant (as you know). Thus if the user chooses no
constant, centered seasonal dummies should be used. It's probably the best
way to use centered dummies always.
Plus the --seasonals option isn't honored apparently in the previous ADF
tests when --nc is given [...]
OK, let's get this right! Now in git the seasonals are centered, and
they're included (if requested) even in the --nc case.
Allin
12:13 p.m.
Am 15.11.18 um 18:10 schrieb Allin Cottrell:
On Thu, 15 Nov 2018, Sven Schreiber wrote:
> Am 14.11.18 um 00:12 schrieb Allin Cottrell:
>
> There's one remaining glitch AFAICS for the case of no constant
> especially. The regular seasonal dummies have a non-zero mean (over
> time), so they implicitly introduce a constant (as you know). Thus if
> the user chooses no constant, centered seasonal dummies should be
> used. It's probably the best way to use centered dummies always.
>
> Plus the --seasonals option isn't honored apparently in the previous
> ADF tests when --nc is given [...]
OK, let's get this right! Now in git the seasonals are centered, and
they're included (if requested) even in the --nc case.
Great -- also in the standalone ADF tests?
thanks,
sven
12:20 p.m.
On Thu, 15 Nov 2018, Sven Schreiber wrote:
Am 15.11.18 um 18:10 schrieb Allin Cottrell:
> On Thu, 15 Nov 2018, Sven Schreiber wrote:
>
>> Am 14.11.18 um 00:12 schrieb Allin Cottrell:
>>
>> There's one remaining glitch AFAICS for the case of no constant
>> especially. The regular seasonal dummies have a non-zero mean (over time),
>> so they implicitly introduce a constant (as you know). Thus if the user
>> chooses no constant, centered seasonal dummies should be used. It's
>> probably the best way to use centered dummies always.
>>
>> Plus the --seasonals option isn't honored apparently in the previous ADF
>> tests when --nc is given [...]
>
> OK, let's get this right! Now in git the seasonals are centered, and
> they're included (if requested) even in the --nc case.
>
Great -- also in the standalone ADF tests?
Yessir.
A.
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