Re: [Gretl-users] Cointegration with Gretl -Suggestions!
Riccardo Jack Lucchetti schrieb:
On Wed, February 8, 2006 22:15, john w wrote:
>
>After such estimation in which you can determine the constant and trend to
>be unrestricted or not you procede with usual VAR model and usual testings.
>This results are then applyed for VECM estimation.
There's a misunderstanding there. I think this is the wrong list to
discuss the workings of PcGive, but gretl and PcGive do the same VAR
estimation, which is OLS after all. If you add a trend term in PcGive in
a levels VAR, you implicitly allow for it to cumulate to a quadratic
trend in levels (given a unit root), no matter whether you declare it
"restricted" or not. IIRC that setting is only used for certain stuff,
one of which is VECM.
Maybe my poor understanding of cointegration is showing? :-)
Now that sounds like fishing for compliments ;-)
-sven