[Gretl-users] Re: Cointegration

Sven, I may have answered my own question. I found this: "A pvalue of less than or equal to 0.05 is often used to indicate whether there is evidence against the null hypothesis". Would you agree with that in my case? -----Original Message----- From: Sven Schreiber [mailto:svetosch@gmx.net] Sent: Monday, August 24, 2020 2:28 AM To: gretl-users(a)gretlml.univpm.it Subject: [Gretl-users] Re: Cointegration Am 24.08.2020 um 02:34 schrieb Mike @me.com: Well, statistical tools such as gretl cannot draw the conclusions for you. One (among many other) reason is that different people prefer different significance levels. However, in your case it seems pretty clear. (BTW it seems you chose the "verbose" option, right? There are a lot of auxiliary results in the output.) If you look at the top of your page 2 for the Johansen output you find the so-called Rank tests. You want to test the null of rank=0, so the first row. The pvalue is below 0.001, so very clear rejection of H0, thus strong evidence against absence of cointegration, probably as expected in this case. (Non-statisticians would say evidence in favor of CI.) BTW, I would ignore the output "Corrected for sample size". The ad-hoc method behind these numbers is outdated, maybe we should retire that. In this case you do not have a small sample anyway. (But if you did, you would have to use the contributed package "johansensmall" by yours truly.) hth, sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/