In my opinion, the additional discusions about econometric methods is tied to the methods available in GRETL, so, I think is unnecesary to create another list. In addition, on average, the amount of emails is low in comparison to other lists.
 
Unmistakenly, when you use a a method in a software, is going to be totally related to the underlying econometric theory. Since the existence of the former is conditional on the later.  Therefore, the discussion of both topics go hand in hand and deserve to be discussed simultaneously.
 
Cheers,
 
Charles
 
 
--
Charles Koss
http://charlesonnet.blogspot.com

 


 
On Mon, May 2, 2011 at 8:03 AM, artur tarassow <artur.tarassow@googlemail.com> wrote:
Hi gretl-users,

just an off-topic question to Allin: You have started to write this nice paper on the critical values for the Johansen cointegration test given some weakly exogenous I(1) variables. Is there already a more recent version available?

I also support the idea of a list for discussing econometric issues.

Best,
Artur




2011/5/2 Anutechia Asongu <simplice_peace@yahoo.com>

Ignacio Diaz-Emparanza wrote:
"...........Thus, in small as
well as large samples, models based on AIC and FPE  may produce superior
forecasts although they may not estimate the orders correctly.......".
          Indeed, Khim's work(2004) doesn't take into account "underestimation of lags"(which could be an inconvinience of the AIC and FPE approaches: as lag overestimation decreases the power of the autoregressive model ). The rule for selecting which Criterion is best is simply based on the  Criterion's ability to overestimate optimal lags.
      Ignacio's explanation is therefore compatible with Khim(2004) when no priority is given lag-overestimation over lag-underestimation.


--- On Mon, 5/2/11, Ignacio Diaz-Emparanza <ignacio.diaz-emparanza@ehu.es> wrote:

From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza@ehu.es>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users@lists.wfu.edu>
Date: Monday, May 2, 2011, 3:45 AM


El 01/05/11 23:07, Anutechia Asongu escribió:
> Thanks Micheal,
> In addition to the concern over what optimal lags to choose. When
> observations are less than 60, the AIC and FPE best to optimise lags
> that fit the model to the data structure. However, when observations are
> above 60, the HQC is best. The SIC or BIC underestimate lags with
> increase in degrees of freedom( See: Khim(2004):
> http://ideas.repec.org/a/ebl/ecbull/v3y2004i33p1-9.html)

I am not sure this last sentence is correct (although I see it is
correctly interpreted from the work of Khim). In fact HQC and BIC are
criteria that obtain a consistent estimator for p (the order of the
VAR). So, when T (or T-k) grows the probability of underestimate p
should decrease.

With respect to this question it is very detailed the explanation given
in chapter 4 of "New Introduction to Multiple time Series" by Helmut
Lütkepohl (Springer, 2005). Let me copy here some conclusions that may
be appropiate given the debate that has emerged in this list: (page 151)

"... It is worth emphasizing that the foregoing results do nor
necessarily mean that AIC and FPE are inferior to HQ and SC [BIC]. Only
if consistency is the yardstick for evaluating the criteria, the latter
two are superior under conditions of the previous section. So far we
have not considered the small sample properties of the estimators. In
small samples, AIC and FPE may have better properties (chose the correct
order more often) than HQ and SC. Also, the former two criteria are
designed for minimizing the forecast error variance. Thus, in small as
well as large samples, models based on AIC and FPE  may produce superior
forecasts although they may not estimate the orders correctly. In fact,
Shibata(1980) derived asymptotic optimality properties of AIC and FPE
for univariate processes. He showed that, under suitable conditions,
they indeed minimize the 1-step ahead forecast MSE asymptotically".


--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es




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