[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
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