From yhadiwibowo@yahoo.com Mon Dec  8 22:27:10 2008
From: Yuniarto Hadiwibowo <yhadiwibowo@yahoo.com>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] ECM and VECM
Date: Mon, 08 Dec 2008 19:27:09 -0800
Message-ID: <415127.81239.qm@web50903.mail.re2.yahoo.com>
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Thank you for your attention. I am still learning this ECM and VECM. 
Some people point out to me several issues in VECM:
1. Small sample bias.
2. Data should be integrated in order(1).

<script>
open data10-5

loop foreach j nc c ct ctt gls --quiet
loop foreach i calwage uswage --quiet
adf 4 $i --$j --test-down --quiet
lt_$i$j=$test
lp_$i$j=$pvalue
adf 4 $i --$j --difference --test-down --quiet 
dt_$i$j=$test
dp_$i$j=$pvalue
end loop
end loop

loop foreach j nc c ct ctt gls --quiet
printf "\nADF $j\n  \t\t%10s \t%12s \n", "Level", "Difference"
printf "\t\t%5s [%6s] %5s [%6s]\n", "tvalue", "pvalue", "tvalue", "pvalue"
loop foreach i calwage uswage --quiet
printf "$i   \t%6.3f [%6.4f] %6.3f [%6.4f]\n", lt_$i$j, lp_$i$j, dt_$i$j, dp_$i$j
end loop
end loop
</script>

I cannot find how to access the lag order in ADF test. Is there any accessor for the actual lag order used?
Considering small sample data and ADF test result, can we use VECM?

Yuniarto Hadiwibowo

----- Original Message ----
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Sent: Tuesday, December 9, 2008 2:21:40 AM
Subject: Re: [Gretl-users] ECM

<script>
open data10-5
coint2 2 calwage uswage
vecm 2 1 calwage uswage
restrict
  a[2] = 0
end restrict --verbose
</script>

The "restrict" block tests the hypothesis that the US wage does
not error-correct in response to perturbations to the California
wage, which is implicitly assumed in the single-equation
specification; this hypothsis is rejected at the 5 percent level.

Allin Cottrell



      

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From cottrell@wfu.edu Tue Dec  9 22:04:42 2008
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] ECM and VECM
Date: Tue, 09 Dec 2008 22:04:41 -0500
Message-ID: <Pine.A41.4.58.0812092156100.303134@f1n11.sp2net.wfu.edu>
In-Reply-To: 415127.81239.qm@web50903.mail.re2.yahoo.com
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On Mon, 8 Dec 2008, Yuniarto Hadiwibowo wrote:

> Thank you for your attention. I am still learning this ECM and VECM.
> Some people point out to me several issues in VECM:
> 1. Small sample bias.
> 2. Data should be integrated in order(1)...

> I cannot find how to access the lag order in ADF test. Is there
> any accessor for the actual lag order used? [when using the
> --test-down option]

No, at present there is not, but one could script an ADF test, on
the pattern of gretl's automated version, which returns the final
lag length.  For a somewhat relevant example, see the sample
script perron97.inp (available under File/Script files/Practive
file/Gretl

Allin Cottrell

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From cottrell@wfu.edu Tue Dec  9 22:13:31 2008
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] ECM and VECM
Date: Tue, 09 Dec 2008 22:13:30 -0500
Message-ID: <Pine.A41.4.58.0812092211101.303134@f1n11.sp2net.wfu.edu>
In-Reply-To: Pine.A41.4.58.0812092156100.303134@f1n11.sp2net.wfu.edu
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On Tue, 9 Dec 2008, Allin Cottrell wrote:

> For a somewhat relevant example, see the sample
> script perron97.inp (available under File/Script files/Practive
> file/Gretl

Urgh, please forgive the sloppy typing.  The menu path is:

File/Script files/Practice file.../Gretl/

Allin Cottrell

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From yhadiwibowo@yahoo.com Wed Dec 10 23:49:39 2008
From: Yuniarto Hadiwibowo <yhadiwibowo@yahoo.com>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] ECM and VECM
Date: Wed, 10 Dec 2008 20:49:37 -0800
Message-ID: <967246.80234.qm@web50907.mail.re2.yahoo.com>
In-Reply-To: Pine.A41.4.58.0812092156100.303134@f1n11.sp2net.wfu.edu
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Many thanks for your advice.

Yuniarto Hadiwibowo



----- Original Message ----
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Sent: Wednesday, December 10, 2008 12:04:41 PM
Subject: Re: [Gretl-users] ECM and VECM

> I cannot find how to access the lag order in ADF test. Is there
> any accessor for the actual lag order used? [when using the
> --test-down option]

No, at present there is not, but one could script an ADF test, on
the pattern of gretl's automated version, which returns the final
lag length.  For a somewhat relevant example, see the sample
script perron97.inp (available under File/Script files/Practice
file/Gretl

Allin Cottrell


      

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