Re: [Gretl-users] problems getting the pvalues of johansen test

On Fri, 17 Dec 2010, artur tarassow wrote: > I am using the current cvs on Win XP. I wrote the following script to > obtain the johansen trace pvalue and test statistics recursively: > > ----------------------------------- > open denmark.gdt > smpl full > > list Y = LRM IBO IDE > scalar p = 3 #recursive test for same lag length over all the period > > matrix pv_trace = {} > matrix test_trace = {} > > smpl 1980:1 1987:3 > scalar T = $nobs > smpl 1974:1 1979:1 > loop for (i=1; i<=T; i+=1) > coint2 p Y > matrix pval = $pvalue > pval = pval[,1]' #take the first column (Trace) and put it into row i > pv_trace = pv_trace | pval > matrix t = $test > t = t[,1]' > test_trace = test_trace | t > smpl ; +1 > endloop > > > pv<- gnuplot 1 2 3 --with-lines --time-series \ > --matrix=pv_trace --output=display --single-yaxis { set title > 'Recursive p-value Trace-test'; } > > test<- gnuplot 1 2 3 --with-lines --time-series \ > --matrix=test_trace --output=display --single-yaxis { set title > 'Recursive t-value Trace-test'; } > -------------------------------- > > Unfortunately I obtain the following error message "Warning: generated > non-finite values" for some reason. Your script runs OK here. However, I'd suggest that your handling of the sample period is a bit confusing, and the main body of your script might be better re-written thus: <script> matrix pv_trace = {} matrix test_trace = {} # loop over sample end-point loop i=1979:1..1987:3 coint2 p Y # take the first column (Trace) and put it into row i matrix pval = $pvalue pv_trace |= pval[,1]' matrix test = $test test_trace |= test[,1]' smpl ; i endloop </script> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users