As I know ( and maybe I'm wrong) these are the steps when determing the
cointegration rank with PcGive.
1. Specify variables - in this step you can choose const and trend to be
unrestricted or not.
2. Estimate VAR model
3. Test estimated VAR model. If model is miss-specified you can add more
lags etc., etc.
4. Run Johansen cointegration test to determine rank.
5. Re-estimating VAR in VECM.
As we discussed yesterday, the main problem in determing cointegration rank
( for example in gretl) is to determin the wright number of lags to be used.
Now, I'm not talking about VECM, I'm talking about testing cointegration
rank which is one step before VECM.
As you know, when determing cointegration rank with gretl you are asked
about lags. Number of lags are closely related to cointegration rank, and
cointegartion rank is very sensitive to entered lags.
Now, tell me on which basis do you enter lags in gretl when testing for
Johansen cointegration ?
Is it AIC or BIC criteria ? If so, who can guarantee you that your model is
not miss-specified.
Do you look at the individual equatations results in gretl cointegration
test output ?
The true is that PcGive gives some more output then other software. There is
no magic.
My point is that gretl becomes better.
Otherways, I will not write so much.
From: Sven Schreiber <svetosch(a)gmx.net>
Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
Subject: Re: [Gretl-users] Cointegration with Gretl -Suggestions!
Date: Thu, 09 Feb 2006 11:05:05 +0100
john w schrieb:
>> Jack:
>> I see. I don't have PcGive, so forgive my misunderstanding.
>
> No problem Jack.
> Sometimes is difficult to express thoughts in just few sentences...I'm
> get excited when talking about gretl..and maybe I don't explain things
> wright...........:))))
> This is the best way I have ever seen to determine the cointegration
rank.
> This will be absolutely perfect to have it in Gretl if it's possible.
>
Sorry I still don't get your point; there's no magic going on in pcgive
that would solve all VECM specification problems of gretl users. I have
the impression that you think pcgive is doing something that it's not
really doing. (sentence sounding like greenspan...:-)
-sven
_______________________________________________
Gretl-users mailing list
Gretl-users(a)ricardo.ecn.wfu.edu
http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users
_________________________________________________________________
The new MSN Search Toolbar now includes Desktop search!
http://toolbar.msn.co.uk/