But there is still another uncommon thing in JMulTi....Johansen procedure
doesn't allow restrictions on beta! You can test them but you can't impose
The good thing is that when you use gretl and JMulTi together you get a
killind data machine.
Fortunatelly, gretl has a great possibilitis to import and export datas, so
this two softwares can be used as one.
This is why I'm opting for vecm estimation in gretl with allowed imposing
restrictions on beta.
In general, JMulTi forum is a little bit "dead" in past few months. So, it
is not so easy to reach the developers.
Riccardo Jack Lucchetti schrieb:
On Thu, August 31, 2006 12:07, Sven Schreiber wrote:
>Ok I can reproduce that. As I suspected, the difference seems to relate to
>deterministic terms, namely the treatment of seasonals.
>It very much looks like the seasonals in Jmulti are not centered, which
makes > a difference if you have a restricted constant, as you know.
>So this is a problem of Jmulti which is not nice at all, and thank you for
>pointing it out. I'll contact Markus (the jmulti man) about it, but I
>he's on vacation right now.
fyi, starting with version 4.13 Jmulti now also uses centered seasonals
in vecm estimation (it always had done so in the cointegration test
module). Thank me for annoying Markus until he gave up ;-)
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