[Gretl-users] Re: daily data and Johansen test and seasonals
Am 25.03.2022 um 18:01 schrieb Sven Schreiber:
Hi,
possibly for the first time I tried to do a Johansen cointegration test
with gretl on 7-day daily data. It turns out that the tick box for
including seasonal dummies was greyed out, so that I needed to add the
weekday dummies manually. I don't see an underlying econometric reason
why it wouldn't be possible to add weekday dummies just like regular
monthly or quarterly dummies with other data frequencies. So this is
basically a request to enable that. Or am I missing something?
OK, so in various places it seems that it's explicitly restricted to
monthly or quarterly, for example:
in gui/selector.c line 6220:
pack_switch(tmp, sr,
want_seasonals && (dataset->pd == 4 || dataset->pd == 12),
FALSE, OPT_D, 0);
if (dataset->pd != 4 && dataset->pd != 12) {
gtk_widget_set_sensitive(tmp, FALSE);
(similar further down for COINT / Engle-Granger)
However, running the "johansen" script command on the daily bikesharing
dataset with the --seasonals options appears to work fine, so it does
seem to be a GUI-only restriction.
thanks
sven