Greetings!

My question is in regard to the  lag lenght selection for johansen cointegration test.

I have almost 3 thousand daily observations of exchange rates. To identify( according to information criteria) the appropiate lag lenght for J's test,  i go to "var lag selection...". The results points to 1 or 6(different criteria give different results) day lag,  anyhow   they don't seem right to me.  And i was thinking i shuold test down at least 100 days  and see if it changes. Any advices???


As  a side note, when i run OLS  under different coinfigurations I notice certain 100+ day lag which are significant at 99% .






> From: gretl-users-request@lists.wfu.edu
> Subject: Gretl-users Digest, Vol 47, Issue 13
> To: gretl-users@lists.wfu.edu
> Date: Thu, 9 Dec 2010 12:00:03 -0500
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> Today's Topics:
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> 1. Re: Building Matrix Using the Dataset (Ignacio Diaz-Emparanza)
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> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 09 Dec 2010 10:25:17 +0100
> From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza@ehu.es>
> Subject: Re: [Gretl-users] Building Matrix Using the Dataset
> To: Gretl list <gretl-users@lists.wfu.edu>
> Message-ID: <4D00A07D.9010002@ehu.es>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> El 07/12/10 14:16, Henrique Andrade escribi?:
> >
> > Dear Sven and Allin, I'd found a solution for my problem. Please take a
> > look at the
> > following script:
> >
> > *<script>*
> > *scalar *mynumber = 9999
> >
> > *list *variables = 1
> > *loop *i=2..144
> > variables += $i
> > *endloop*
> >
> > *loop foreach *i variables
> > *series *$i = misszero($i) + missing($i)*mynumber
> > *endloop*
> >
> > *matrix *A = { *dataset *}
> > *</script>*
> >
> > Thanks for your help!
> >
> > Best regards,
> > --
> > Henrique C. de Andrade
>
> Dear Henrique,
>
> another alternative for your script:
>
> <script>
> open Dados.gdt
> scalar mynumber = 9999
>
> list variables = dataset
>
> loop foreach i variables
> series $i = ok($i)*$i + !ok($i)*mynumber
> endloop
> matrix A = { variables }
> </script>
>
> --
> Ignacio Diaz-Emparanza
> DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
> UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
> T.: +34 946013732 | F.: +34 946013754
> www.ea3.ehu.es
>
>
>
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