Re: [Gretl-users] vecm comparisons
John C Frain schrieb:
If you include seasonal dummies in the "NO CONSTANT" or
"restricted
constant" it is unlikely that the sum of the seasonals will add to
zero and you will then be imposing a trend on the undifferenced series
in the vecm.
Yeah but that's what centered seasonals are for which sum to zero by
construction. We implicitly assumed that Stata's "normalized" seasonals
concept means exactly this, because they refer to Johansen's discussion.
So then there wouldn't be any reason to exclude them. But since Stata
doesn't seem to have automatic seasonals, maybe they just don't trust
their users to do it right and play it safe :-)
Stata in the option trend(trend) refers to a quadratic trend in the
undifferenced data it is correct as this corresponds to a linear trend
in the differenced data.
But that's not what they say, instead they say:
>
> "trend(trend) include a linear trend in the cointegrating
> equations
whereas Johansen's/Eviews' option number 5 has a quad trend in the
cointegrating equations (and a linear trend in the differenced data, as
you say).
For other methods the Stata manual and help always seemed to me very
illuminating, but not in this realm. But hey, they're newcomers there...
-sven