Re: [Gretl-users] Johansen's test
Mariusz Doszyń schrieb:
Hello,
I've got a few questions about results of Johansen's test in Gretl. I
don't know how exactly these results are computed. I've calculated
eigenvalues according to the popular formula proposed by
Johansen: det[lambda*I-[(S11)-1]*(S10)*[(S00)-1]*(S01)] - and results
are different (0,58 and 0,23; in Gretl: 0,67 and 0,17). Do you know why?
chances are you made a mistake ;-)
Apart from real programming errors, there are more subtle issues: Are
you using exactly the same sample including starting values, are the
exogenous and or deterministics exactly the same? Etc. etc.
good luck,
sven