[Gretl-users] cointegration with breaks (was Re: Error in Loop procedure)
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Am 29.11.2015 um 23:04 schrieb Augusta Pelinski:
Good evening
Thank you for all the replies you sent me. in part, managed to control
the problem of error that was giving applying log considering one of the
suggestions that argued the possibility of specification is wrong.
But I heard some comments that perhaps this was not the most appropriate
test.
Then I wanted to ask two items:
-What Test grelt could analyze coientegração with breaks
I don't think there is a complete test implemented yet in the gretl
universe. It is easy to run the Johansen test with further exogenous
terms such as a broken trend, but you would need to use other tools to
get the correct critical values for the test.
- Which test could use the order of variables in VEC modleo
If you mean the order of integration then you can use the various unit
root tests that are included.
hth,
sven