Dear Allin, Thank you for the new features. I've got a question regarding the new critical values which gretl reports now. I estimate this vecm: ------------------- open denmark.gdt coint2 4 LRM LRY ; IBO IDE --rc ------------------- and obtain the following output: ------------------- Johansen test: Number of equations = 2 Lag order = 4 Estimation period: 1975:1 - 1987:3 (T = 51) Case 2: Restricted constant Exogenous regressor(s): IBO IDE Log-likelihood = 402.981 (including c: 258.25) Rank Eigenvalue Trace test 80% 90% 95% 99% 0 0.40735 36.958 1 0.18250 10.277 -------------------- for which no critical values are reported. Secondly, the following model is estimated with the corresponding p-values; but still with this note at the end: -------------------- coint2 4 LRM LRY ; IBO IDE --ct Johansen test: Number of equations = 2 Lag order = 4 Estimation period: 1975:1 - 1987:3 (T = 51) Case 5: Unrestricted trend and constant Exogenous regressor(s): IBO IDE Log-likelihood = 408.691 (including c: 263.959) Rank Eigenvalue Trace test p-value Lmax test p-value 0 0.45555 43.161 [0.0000] 31.007 [0.0002] 1 0.21205 12.154 [0.0005] 12.154 [0.0005] Note: in general, the test statistics above are valid only in the absence of additional regressors. -------------------- Is there a bug or any other reason why no critical values are reported for the first case? Best, Artur Am 12.03.2011 19:36, schrieb Allin Cottrell: 3) Johansen cointegration test in the presence of exogenous regressors. For a long time we've reported the standard asymptotic p-values for the trace and lambda-max tests, while issuing a warning that these are not valid when exogenous regessors are included. We now (after a useful correspondence with Soren Johansen) try to do better: we report critical values for the trace test based on Harbo, Johansen, Nielsen and Rahbek, "Asymptotic Inference on Cointegrating Rank in Partial Systems" (Journal of Business and Economic Statistics 16/4, October 1998). The critical values were re-simulated in gretl with 50,000 replications. There remain some doubts about what to do (a) if the exogenous variables are just dummies, and (b) in the cases where the highest-order deterministic term is unrestricted (i.e. unrestricted constant, or constant plus unrestricted trend). Harbo et al show that the distribution of the trace test contains uneliminable nuisance parameters in the latter cases (and Johansen is not confident that CATS is doing the right thing).