Re: [Gretl-users] Discrepancy between R and Gretl in Johansen cointegration
Am 01.02.2019 um 15:04 schrieb Reynaldo Senra:
Is this procedure wrong?
In terms of modeling, you can do whatever you want (well, almost). Just
don't expect the rank test to be still correct, then.
values considering the Johansen et al (2000) determination of the
If this refers to Johansen / Mosconi / Nielsen then this is correct (if
no other mistakes are made). But this is not identical to the standard
Johansen rank test, especially with respect to the
distributions/critical values.
In any case, thanks for the report. I'm still curious to learn what's
actually the matter with urca's critical values.
cheers,
sven