[Gretl-users] Re: small Johansen test - minimum sample size

Also, what do you mean by only "one component is stationary". The point is that residuals are stationary with cointegration? Best, Lars Hämta Outlook for Android<https://aka.ms/AAb9ysg> ________________________________ From: Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; Sent: Saturday, October 29, 2022 1:39:40 PM To: gretl-users(a)gretlml.univpm.it <gretl-users(a)gretlml.univpm.it&gt; Subject: [Gretl-users] Re: small Johansen test - minimum sample size Am 28.10.2022 um 16:42 schrieb Lars Ahnland: Hi, Sorry, I used the two variables Debt_ratio and Capital_share, with a restriced contant model. The lag length, according to a majority of information criteria, is 2. OK, I tried your first subsample (BTW, I found it quite nice how gretl directly imported the series from the xlsx file without a hiccup...), and I also get a p-value below 5%. Remember, however, that this just means that the test finds one stationary component ( = "direction") in the system. By eyeballing that series I would bet that the capital share is an I(0) variable, at least in the perspective of this subsample. So yes, I'd say that the result is reliable, but it may not mean what you were expecting. cheers sven