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

Am 01.02.2019 um 22:58 schrieb Allin Cottrell: Yes, but the underlying fact that tended to be forgotten is that using the unrestricted constant case only works conditional on a drift term in the data that is actually there. The attached example simulates the case of a trivial non-cointegrated (but integrated) system without any drift (== no linear trend in the data). The resulting 95% quantile matches urca's critical value (N-r_0 = 2 at 5%). Using R's tsDyn, or gretl, or Stata with the unrestricted constant choice on this example would yield biased tests (reject too often, because there the critical value is around 15 instead of 18). This is not the fault of these programs, because the user test spec is "wrong", but in that sense R's urca is on the safe side. But don't get me wrong: I think urca's communication is confusing and the fact that you don't get the standard 5 cases there is not good. cheers, sven