Re: [Gretl-users] ECM
On Mon, 8 Dec 2008, Yuniarto Hadiwibowo wrote:
Thank you very much.
You're welcome. By the way, although the answer I gave was the
most direct response to your question, it may not be the best one.
You might be better employing the Johansen ML approach, as in
<script>
open data10-5
coint2 2 calwage uswage
vecm 2 1 calwage uswage
restrict
a[2] = 0
end restrict --verbose
</script>
The "restrict" block tests the hypothesis that the US wage does
not error-correct in response to perturbations to the California
wage, which is implicitly assumed in the single-equation
specification; this hypothsis is rejected at the 5 percent level.
Allin Cottrell