Thanks Sven


--- On Sun, 5/1/11, Sven Schreiber <svetosch@gmx.net> wrote:

From: Sven Schreiber <svetosch@gmx.net>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users@lists.wfu.edu>
Date: Sunday, May 1, 2011, 1:07 PM


> On Sun, May 1, 2011 at 5:17 AM, Allin Cottrell <cottrell@wfu.edu> wrote:

>>>
>>> For a bivariate case, if the trace test rejects c=0 and does not
>>> reject c=1, I report c=1.
>>
>> OK.
>>
>>> If it is the other way around, then I report c=0 as the test
>>> result.
>>
>> On the trace test, that result would seem anomalous, and
>> indicative of a small-sample problem. If there's "enough evidence"
>> to reject c=1 (with an alternative of c=2), then concluding that
>> c=0 is problematic.
>>

Yes, it's an unsatisfactory result in practice, and it actually seems to
happen on a regular basis. Nonetheless, it is known from the very
beginning (cf. Sören Johansen's book for example) that in principle you
need to apply the tests in a sequence from 0 to n-1, and never mind the
test results that come later in the sequence, if you already accepted an
earlier hypothesis. Otherwise you don't get a test setup with a
controlled overall size. (Apart from that, I also believe that it's not
necessarily a small-sample phenomenon, but so far that's just a hunch.)

cheers,
sven



_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users