[Gretl-users] Cointegration with Gretl and errorbars
Allin:
Or do you mean a version of CVS for Windows?
http://www.cvsnt.org/
http://www.wincvs.org/
Thnx Allin.
Yws, I was interested in CVS for Windows.
Regarding Johansen cointegration tests:
I'd recommend reading James Hamilton's Time Series Analysis on
this topic
http://pup.princeton.edu/titles/5386.html
I'll check.
There's not really anything specific to gretl that needs to be
said, other
than what has been said by Jack in the chapter "Cointegration and Vector
Error Correction Models" in the gretl user's guide.
I already saw help session about cointegration.
I will give you one example..If you are testing for Johansen cointegration
rank with PcGive you firstly set up a VAR model which can be tested for no
autocorrelation, Arch etc. Then this tested model is then re-estimated in
Cointegrated VAR model i.e. VECM.
If you are testing for cointegration rank using JMulTi then you can test
using AIC and BIC criteria. There is no further output.
Gretl gives output when testing for cointegration and this is perfect.
My question is: to determine the optimal number of lags (which remooves
autocorrelation) what are your guidelines?
On what basis do you say that "this will be my optimal number of lags" in
cointegration test?
Other questions:
1. Errorbars are still set as defoult in VECM graphs and can't be changed?
2. What do you say about a option to add EC graph when VECM is estimated?
3. Maybe will be nice to put once again Alpha results beside Beta vector
results?
Sorry for so much questions.
Thank you
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