Re: [Gretl-users] Cointegration with Gretl -Suggestions!
On Thu, February 9, 2006 11:36, john w wrote:
> As I know ( and maybe I'm wrong) these are the steps when determing the
> cointegration rank with PcGive.
> 1. Specify variables - in this step you can choose const and trend to be
> unrestricted or not.
> 2. Estimate VAR model
> 3. Test estimated VAR model. If model is miss-specified you can add more
> lags etc., etc.
> 4. Run Johansen cointegration test to determine rank.
> 5. Re-estimating VAR in VECM.
In my opinion, this is not very different from what I proposed in my
earlier
message
(http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-February/000481.html)
It's not. This up was for Sven, I didn't know ih he saw our yesterday's
discussion.
It is the the same procedure as you wrote, but it can't cover all Johansen
cases.
I will check sohething this afternoon and will let you know.
The issue looks very simple to me: choose a lag length that YOU
consider
suitable on the basis of the VAR estimates and your a-priori opinions
(hell,
I'm speaking like a Bayesian here! God forbid!) and then use that lag
length
in the Johansen test.
In fact, this is what I'm doing.
Nobody. Or, better still, any empirical model is misspecified anyway.
A
model
is a toy world. All you can ask is that your toy is a cool one.
I agree with you. All models are wrong, but some of them are useful! ;)))
We all appreciate that. But IMO, gretl already does what you need.
And I'm very very greatefull for that.
As I said before I will check something and let you know.
Maybe I raise so much dust for something which is already
implemented......;;))))
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