Dear Mr Luccetti,
 
For sure nothing is beside the point for me. All your comments, points and suggestions (yours, Sven's, Artur's and Allin's) have been helpful in one and other way. 
I will use the small sample to help me to take my decisions.

Your emails have helped me in the search or the reasons for the issue.
kind regards,
 
Reynaldo
 
Sent: Friday, February 01, 2019 at 3:49 PM
From: "Riccardo (Jack) Lucchetti" <r.lucchetti@univpm.it>
To: "Gretl list" <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
On Thu, 31 Jan 2019, Allin Cottrell wrote:

> 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]

Just let me add that, if you want state-of-the-art p-values, you should
use Sven's "johansensmall" package. There is quite a lot of evidence that
small sample issues can be substantial in cointegration testing.

But that's beside the point, I guess.

-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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