Re: [Gretl-users] Creating cointegrated series

Hi all, I have a few questions/issues to report with a cointegration example that I am trying to simulate using: nulldata 500 setobs 1 1950 --time-series series u1 = randgen(N,0,1) series u2 = randgen(N,0,1) series Z1 = 0 series Z1 = Z1(-1) + u1 series Z2 = 75 + 0.75*Z1 + u2 1)- When I run a VECM model afterwards, I always have one of the inverse roots on the edge. Am I doing something wrong? 2)- Is there a better way of creating cointegrated series where I can also set the EC coefficients (and/or the lag order)? 3)- Running the EG test, I notice that if the original series are tested with a constant and/or a trend, the residuals in the 4th step are also tested with a constant and/or trend. Can this be a bug, since we are testing residuals? 4)- In the VECM specification window, one can choose up to 10 cointegrating vectors even if there are 2 series. IMHO, it would be nice to put a limit depending on the number of series. Thanks very much in advance for any help or suggestions. Cheers Talha -- “An expert is a person who has made all the mistakes that can be made in a very narrow field.” - Niels Bohr (1885-1962) -- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users