[Gretl-users] Cointegration test - Help

Hi guys, got one question for you regarding coint test - Johansen. Determing the number of coint vectors (CV) is the first step of VECM (besides testing for a unit root). This means that for determing the wright number of CVs you must estimate a system which don't suffer of serial correlation, no arch effects, non-normality etc. The results and estimates from cointegration tests are then the base for VECM. My question is: How you choose the wright model i.e. the wright specification for coint test in Gretl? Do you look at individual equatations tests in Gretl output cointegration test? Is there any additional command to test system as a whole? Do you start with AIC and BIC var lag order tests? But they do not guarantee that the model is miss-specified (no serial correlation etc.) In my question cointegration cases are ignored. Thnx _________________________________________________________________ The new MSN Search Toolbar now includes Desktop search! http://toolbar.msn.co.uk/