Re: [Gretl-users] Cointegration with Gretl -Suggestions!
There's a misunderstanding there. I think this is the wrong list
to
discuss the workings of PcGive, but gretl and PcGive do the same VAR
estimation, which is OLS after all. If you add a trend term in PcGive in
a levels VAR, you implicitly allow for it to cumulate to a quadratic
trend in levels (given a unit root), no matter whether you declare it
"restricted" or not. IIRC that setting is only used for certain stuff,
one of which is VECM.
You are wright Sven, this is not a list to discuss working of PcGive, but is
a list to discuss gretl's improovement. Comparing is a good way to express
new ideas and features. I mentioned PcGive just to give an example that this
is possible.
Anyway, what do you say about this feature in Gretl?
This will in a good way solve the problem of lags when testing for
cointegration rank.
I will give a look how it technically works.
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