Re: [Gretl-users] FEVD plot in gretl and GNU R
Am 28.03.2011 15:06, schrieb Grzegorz Konat:
In gretl I do:
vecm 2 1 X Y Z --ct
The above produces exactly the same output as STATA's:
vec x y z, trend(trend) /vecrank and lag order given in specification
window/
and slightly different form JMulTi's estimates.
However, when I use R's (urca):
xyz.vecm <- ca.jo <http://ca.jo>(gretldata[, c("X", "Y",
"Z")], type =
"trace", ecdet = "trend", K = 2, spec = "transitory")
/for all options
in 'type' and 'spec'/
The usual suspects are: double-check the sample which is used, the lag
order (seems to match here though), and the precise specification of
deterministic terms (both restricted and unrestricted). Don't know the
details of urca to tell you right now.
-sven