Hi,
I think I was the one to suggest a warning in the Johansen test output
when including exogenous variables. Now I have noticed (have been
alerted) the following:
* gretl now also outputs p-values for the case of exogenous I(1)
variables -- I vaguely seem to remember a discussion about this, and
it's cool of course. I think it would be helpful, however, to give a
reference in the output to what setup (article) this refers. (Or maybe
not in the output but in the command reference for coint2, but I
couldn't find anything there, either.)
* 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...)
thanks,
sven
Show replies by thread