6:03 p.m.
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??
Thanks
Javi
7:36 p.m.
Javi,
What you really need to do is consult an econometrics textbook, not the gretl list.
________________________________
From: gretl-users-bounces(a)ricardo.ecn.wfu.edu on behalf of Javier García
Sent: Thu 21/12/2006 5:03 PM
To: gretl-users(a)ricardo.ecn.wfu.edu
Subject: [Gretl-users] johansen
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??
Thanks
Javi
9:22 p.m.
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
10 p.m.
On Thu, 21 Dec 2006, I wrote:
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)
I'll add one more point here (sorry if I'm trying the patience of
some; I know this not in any way gretl-specific).
These are asymptotic tests, and in large samples you'd expect to
the see the p-values increasing monotonically as you read down the
"Trace test" column in the results. (Loosely, you should have a
better chance of rejecting c = 0 using an alternative of c = 1
than using an alternative of c = 2, and so on.)
However, in some small samples this can be inverted. If I
remember right, I've seen cases where it would seem that you'd
reject c = 0 against an alternative of c = 2, at some standard
significance level, but not against c = 1. If you see that sort
of thing, it really means that you need more data.
Allin.
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4 comments
3 participants
participants (3)
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Allin Cottrell -
Javier García -
Summers, Peter