Re: [Gretl-users] Difference in EG tests
Am 20.02.2014 12:09, schrieb smyks:
I have checked with denmark.gdt dataset:
coint 10 1 2 --verbose --test-down <= Gretl reports sample size of 44
coint 10 1 2 --verbose --test-down --skip-df <= Gretl reports sample
size of 53
Ok I now see what you mean, effectively different samples are used in
what should be the same approach, like you said. I don't see a
justification for that (i.e. I tend to agree it's a bug).
To my understanding both command lines should employ the same sample
size of 53, which is in line with Hayashi (2000).
Actually, when looking at the different samples that are used in the
various steps of the procedure I think they're debatable in general. If
you pick a max lag of 10 I would actually tend to favor the shortest
sample (T=44) instead of the longest (T=53), because only the shortest
is the common denominator for everything. Of course, if results differ
wildly, it's a sign of problems anyway.
cheers,
sven