I am currently revising a paper and I hope you could help me with a
small question that is not really gretl specific.
I want to add a table which will show Johansen tests can give
different results in small samples when different parameters are used.
In the table, I just use the trace test results (since this is just to
prove a point) and choose lags 1, 2, and 3. I also use the default
case as well as the --ct option. This results in 6 combinations.
Here is how I proceed:
For a bivariate case, if the trace test rejects c=0 and does not
reject c=1, I report c=1. If it is the other way around, then I report
c=0 as the test result.
As you know, sometimes the results can be contradictory so that c=0
and c=1 are rejected (or not rejected) simultaneously.
My question is that would it be OK to report "inconclusive" in those
cases? Or am I expected to follow another further procedure?
Any help and possible further suggestions are very much appreciated.
By the way, I think it could be useful if we had another gretl mailing
list for general econometrics discussions.
“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
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