Re: [Gretl-users] johansen
On Fri, 22 Dec 2006, Javier García wrote:
And then the interpretation is sequentialy, isn't it?? That is,
first we look at the rank zero and, if it is refused, we look at
the rank one...until one of them doesn't be refused??? or, on
the contrary, we start with the biggest rank and we goes down??
First, the results you reported earlier:
Rank Eigenvalue trace p-value l-max p-value
0 0.11637 13.736 0.3151 11.01 0.2600
1 0.030163 2.726 0.6392 2.73 0.6380
Second, the guide from the gretl manual, adapted to the case of
just 2 variables:
Rank Trace test Lmax test
H0 H1 H0 H1
---------------------------------------
0 c = 0 c = 2 c = 0 c = 1
1 c = 1 c = 2 c = 1 c = 2
So, using alpha = 0.05 (or alpha = 0.10 for that matter):
Trace test:
H0: c = 0: p-value 0.3151, fail to reject (so stop here)
Lmax test:
H0: c = 0: p-value 0.2600, fail to reject (so stop here)
The two tests therefore agree: there is no evidence of
cointegration between the variables.
Allin Cottrell