Re: [Gretl-users] VECM estimation
While I tested this, I realised that I couldn't reproduce Johansen's results
with JMulTi; either I'm missing something, or JMulTi's VECM
estimation goes
through a different algorithm from ours. We do VECMs as per Johansen's
book;
so does PcGive, and I believe there should be no differences between our
results and what PcGive yields.
I already tested. Results i.e. estimation is the same in JMulTi and gretl.
You probabbly missed something when imposing cases in JMulTi. For example
you maybe entered lags in JMulTi's VECM in levels and you should in
differences. This could be one of the reasons.
But the results are exactly the same!
Also, in JMulTi you can impose restrictions (i.e. you can't reestimate model
with imposed restrictions on beta) in Johansen estimation like in for
example PcGive or Eviews. It's explained in help files. This feature is not
implemented and it's a little bit strange because this kind of estimation is
a "benchmark" technicque.
If it will be implemented in gretl this will be a very big plus!
If you want I could post how one should specify Johansen cases in JMulTi.
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