Sven, Thank you very much. Your is just the information I was hoping for. Please help me interpret the range of possible pvalues. .001 implies CI. What pvalue (or above)would imply the opposite, likely absence of CI? Thanks again for taking the time. Best regards, MikeC > On Aug 24, 2020, at 02:28, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > > Am 24.08.2020 um 02:34 schrieb Mike @me.com: >> Hi All, >> >> I am trying to determine if two time series (closing prices of two >> securities)are cointegrated. The two pass the eyeball test. >> >> I have conducted both the Johansen and Engle-Granger tests. The results >> are attached. >> >> I don’t know how to interpret the results. I was hoping for a big “YES”, >> “NO” or at least a “LIKELY” at the end of the tests. > > Well, statistical tools such as gretl cannot draw the conclusions for > you. One (among many other) reason is that different people prefer > different significance levels. > >> If anyone would tell me which statistics I should be looking at and how >> to interpret them, I would sure appreciate it. > > However, in your case it seems pretty clear. (BTW it seems you chose the > "verbose" option, right? There are a lot of auxiliary results in the > output.) > > If you look at the top of your page 2 for the Johansen output you find > the so-called Rank tests. You want to test the null of rank=0, so the > first row. The pvalue is below 0.001, so very clear rejection of H0, > thus strong evidence against absence of cointegration, probably as > expected in this case. (Non-statisticians would say evidence in favor of > CI.) > > BTW, I would ignore the output "Corrected for sample size". The ad-hoc > method behind these numbers is outdated, maybe we should retire that. In > this case you do not have a small sample anyway. (But if you did, you > would have to use the contributed package "johansensmall" by yours truly.) > > hth, > sven > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/

Am 25.08.2020 um 02:21 schrieb Mike @me.com: I agree that the statement is correct, in particular the "often used". Whether you should be using that threshold value is an entirely different question which I cannot answer for you. People are using the "customary" significance levels --without reflecting why-- far too often (IMHO). But as you are far beyond that value at below one per mille (thousand) you should be OK indeed. (Provided of course you don't have any glaring misspecification in your model setup.) cheers sven