Re: [Gretl-users] Cointegration with Gretl -Suggestions!

Riccardo Jack Lucchetti schrieb: > On Wed, February 8, 2006 22:15, john w wrote: >> >>After such estimation in which you can determine the constant and trend to >>be unrestricted or not you procede with usual VAR model and usual testings. >>This results are then applyed for VECM estimation. There's a misunderstanding there. I think this is the wrong list to discuss the workings of PcGive, but gretl and PcGive do the same VAR estimation, which is OLS after all. If you add a trend term in PcGive in a levels VAR, you implicitly allow for it to cumulate to a quadratic trend in levels (given a unit root), no matter whether you declare it "restricted" or not. IIRC that setting is only used for certain stuff, one of which is VECM.

> > Maybe my poor understanding of cointegration is showing? :-) > Now that sounds like fishing for compliments ;-)