Am 31.01.2019 um 16:07 schrieb Reynaldo Senra:
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
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:
That thread also seems to end without a real answer. Is Osterwald-Lenum