Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
Am 01.02.2019 um 07:49 schrieb Riccardo (Jack) Lucchetti:
On Thu, 31 Jan 2019, Allin Cottrell wrote:
> gretl (omitting the presumably more reliable small-sample p-values
> that gretl provides):
>
> Rank Eigenvalue Trace test p-value Lmax test p-value
> 0 0.19415 11.904 [0.1633] 11.009 [0.1557]
> 1 0.017402 0.89533 [0.3440] 0.89533 [0.3440]
Just let me add that, if you want state-of-the-art p-values, you should
use Sven's "johansensmall" package. There is quite a lot of evidence
that small sample issues can be substantial in cointegration testing.
But that's beside the point, I guess.
A bit off-topic yes, but OTOH gretl's own ad-hoc "small-sample" predate
the johansensmall package (which is also Andreas's BTW), and maybe
something should be done about how they're presented.
To be clear, they certainly don't do any harm compared to the
asymptotical critical values.
You're right that users should know that even those built-in "corrected"
p-values are still much too low in typical samples (test is oversized).
cheers,
sven