Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration

On Fri, 1 Feb 2019, Sven Schreiber wrote: Here's a replication and extension of Sven's exercise. It's not trivial to get R's tsDyn and urca packages to perform the same test but I think I've succeeded. Note that using include="const" in tsDyn is equivalent to ecdet="none" in urca. <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> The relevant portions of the output: --------------------------- gretl (omitting the presumably more reliable small-sample p-values that gretl provides): Rank Eigenvalue Trace test p-value Lmax test p-value 0 0.19415 11.904 [0.1633] 11.009 [0.1557] 1 0.017402 0.89533 [0.3440] 0.89533 [0.3440] R, tsDyn: Test of rank 0 versus 2 (trace test), p-value: 0.1633226. Test of rank 1 versus 2 (trace test), p-value: 0.344037. R, urca: Test type: trace statistic , with linear trend Values of teststatistic and critical values of test: test 10pct 5pct 1pct r <= 1 | 0.9 6.50 8.18 11.65 r = 0 | 11.9 15.66 17.95 23.52 --------------------------- Gretl and tsDyn are clearly agreed. What about urca? Note that the two tests appear in the opposite order relative to gretl and tsDyn. a) Since "test" = 0.9 is less than "10pct" = 6.50, H0 is not rejected at the 10% level. Agreed, since gretl and tsDyn show p-value = 0.344. b) Since "test" = 11.9 is less than "10pct" = 15.66, H0 is not rejected at the 10% level. Agreed, since gretl and tsDyn show p-value = 0.1633. So I think we await a fully-specified example of disagreement between R::urca and R::tsDyn or gretl. Allin