Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
Am 01.02.2019 um 20:47 schrieb Allin Cottrell:
On Fri, 1 Feb 2019, Sven Schreiber wrote:
> Thanks, interesting. However, I don't think that it is
necessarily
> wrong per se. This is exactly the problem why the people from
> Copenhagen and Oxford tried to promote only the usage of the cases
> where the tests are (asymptotically) "similar" (terminus technicus
> here). And the unrestricted constant case is not, it depends on
> whether a trend is actually in the data or not.
> (I hope I'm not misrepresenting their opinions.)
>
> So one could interpret the urca choice as trying to be on the safe
> side, at the cost of having a conservative test (asymptotically).
Granted. But -- if I'm understanding the issue correctly -- wouldn't
this choice amount to assuming that the chosen statistical model is
misspecified? (It allows for a trend that does not exist in the DGP.)
Well, but the statistical model is more general in this case. That's not
what we typically call mis-specified. I'd say it's more subtle. But I
agree there's a reason why this setup didn't become standard.
-s