Re: [Gretl-users] Cointegration with Gretl -Suggestions!
I wrote:
It is the the same procedure as you wrote, but it can't cover all
Johansen
cases.
I will check sohething this afternoon and will let you know.
It can cover all Johansen cases.
Dear all,
my appologies to you. I missed something in comparing estimations.
The PROCEDURE between this two softwares (gretl and PcGive) when testing for
cointegration is simillar, but not the same. In PcGive (as this also
mentioned Sven) you are allowed to select trend as unrestricted which is
later necessary for testing the numbers of cointegration vectors. In PcGive
testing for cointegration vectors and estimating VAR models is in the same
module.
This is not necessary in Gretl as it has this two modules separed.
The truth is that PcGive has more tests, but as Jack said Gretl has
everything you need.
I will add something: tests -> never enough.
Once again sorry for this confusion.
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