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

Am 01.02.2019 um 20:47 schrieb Allin Cottrell: > On Fri, 1 Feb 2019, Sven Schreiber wrote: >> Thanks, interesting. However, I don't think that it is necessarily wrong >> per se. This is exactly the problem why the people from Copenhagen and >> Oxford tried to promote only the usage of the cases where the tests are >> (asymptotically) "similar" (terminus technicus here). And the unrestricted >> constant case is not, it depends on whether a trend is actually in the >> data or not. >> (I hope I'm not misrepresenting their opinions.) >> >> So one could interpret the urca choice as trying to be on the safe side, >> at the cost of having a conservative test (asymptotically). > > Granted. But -- if I'm understanding the issue correctly -- wouldn't this > choice amount to assuming that the chosen statistical model is > misspecified? (It allows for a trend that does not exist in the DGP.) Well, but the statistical model is more general in this case. That's not what we typically call mis-specified. I'd say it's more subtle. But I agree there's a reason why this setup didn't become standard.