Re: [Gretl-users] Johansen
Hi,
The answer is that it does not make any difference if you are using H0: r <= r0
with H1: r > r0 or H0: r = r0 with H1: r > r0. Statistically, these two
expressions are the same. Likewise, H0: r => r0 with H1: r < r0 or H0: r = r0
with H1: r < r0 would be the same.
Regards
Andreas
Citerar javier garcia enriquez <javigarcia83(a)yahoo.es>:
Hi;
I wanted to know what are the hypothesis that Gretl uses in the Johansens
tests (trace and lambda max). We think there is a very confused topic in the
literature, because some articles (programs) says(uses) that both have the
same hypothesis (H0: r <= r0; H1: r>r0), while others defend the
following:
Trace H0: r <= r0 H1: r>r0
Lambda max H0: r =r0 H1: r>r0
Where r0 is the number of coitegration vectors
Is Gretl use either of them??
Thanks
Javi
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