Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
Hi Allin,
may I use your example for a tweet on twitter? I would add a brief
comment that the urca-pkg. uses different critical values.
Best,
Artur
Am 01.02.19 um 04:15 schrieb Allin Cottrell:
On Fri, 1 Feb 2019, Sven Schreiber wrote:
<hansl>
open denmark
coint2 4 LRM LRY --quiet
foreign language=R --send-data
require(tsDyn)
cidat <- gretldata[,1:2] # again LRM LRY
ve <- VECM(cidat, lag=3, estim="ML", include="const")
ve_test0 <- rank.test(ve, r_null=0, type="trace")
ve_test0
ve_test1 <- rank.test(ve, r_null=1, type="trace")
ve_test1
require(urca)
test2 <- ca.jo(cidat, type="trace", K=4, ecdet=c("none"))
summary(test2)
end foreign
</hansl>