Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
Am 31.01.2019 um 16:07 schrieb Reynaldo Senra:
Dear Sven,
Very much thank you for the quick response.
Yes I know they are different. Maybe I was not clear with my message.
R reports critical values and gretl p-values. The problem is that the
critical values in R indicated 1 cointegration vector but the p-values
in Gretl indicated 2. That is the problem. Logically, I expected no
discrepancy
Ah OK, I see. Right now I don't know a full answer to the question, but
it certainly should be clarified. From the ca.jo documentation (in R /
urca package I think) it appears that he uses the Osterwald-Lenum 1992
critical values. Gretl, in contrast, uses a later paper by Doornik
(1998) (check the help for coint2).
Also it seems that somebody else had a very similar question comparing
ca.jo and Python's statsmodels:
https://github.com/statsmodels/statsmodels/issues/5355
That thread also seems to end without a real answer. Is Osterwald-Lenum
obsolete?
thanks,
sven
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