Re: [Gretl-users] vecm comparisons
On Thu, 21 Jan 2010, Artur T. wrote:
Dear Henrique,
yes, you are right. The JMulti gui is a little bit different to gretl --
that's what confused me a little bit.
The attached file should be correct now.
Which shows identical results to gretl, with the exception of
$vcv/$stderr, which are not adjusted for the degrees of freedom:
<script>
open denmark
vecm 2 1 1 2 3 4 --seas
jMstderr = $stderr * sqrt($df/$T)
print jMstderr
</script>
I tried Eviews 4 on a colleague's box, and its results are identical to
ours: that is, they use the df correction.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti