Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
On Thu, 31 Jan 2019, Allin Cottrell wrote:
gretl (omitting the presumably more reliable small-sample p-values
that gretl provides):
Rank Eigenvalue Trace test p-value Lmax test p-value
0 0.19415 11.904 [0.1633] 11.009 [0.1557]
1 0.017402 0.89533 [0.3440] 0.89533 [0.3440]
Just let me add that, if you want state-of-the-art p-values, you should
use Sven's "johansensmall" package. There is quite a lot of evidence that
small sample issues can be substantial in cointegration testing.
But that's beside the point, I guess.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------