2:17 a.m.
On Sun, 1 May 2011, Talha Yalta wrote:
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.
OK.
If it is the other way around, then I report c=0 as the test
result.
On the trace test, that result would seem anomalous, and
indicative of a small-sample problem. If there's "enough evidence"
to reject c=1 (with an alternative of c=2), then concluding that
c=0 is problematic.
As you know, sometimes the results can be contradictory so that c=0
and c=1 are rejected (or not rejected) simultaneously.
That doesn't seem contradictory: if both c=0 and c=1 are rejected,
that favors the hypothesis that both series are stationary. If
neither c=0 nor c=1 is rejected that suggests they're both
non-stationary, and not cointegrated.
Allin Cottrell
3:29 a.m.
New subject: Changing Language
Hi All,
Could any one be of help in gisting me on how to change the language from French
to English?. I'll be greatful
--- On Sat, 4/30/11, Allin Cottrell <cottrell(a)wfu.edu> wrote:
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Saturday, April 30, 2011, 7:17 PM
On Sun, 1 May 2011, Talha Yalta wrote:
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.
OK.
If it is the other way around, then I report c=0 as the test
result.
On the trace test, that result would seem anomalous, and
indicative of a small-sample problem. If there's "enough evidence"
to reject c=1 (with an alternative of c=2), then concluding that
c=0 is problematic.
As you know, sometimes the results can be contradictory so that c=0
and c=1 are rejected (or not rejected) simultaneously.
That doesn't seem contradictory: if both c=0 and c=1 are rejected,
that favors the hypothesis that both series are stationary. If
neither c=0 nor c=1 is rejected that suggests they're both
non-stationary, and not cointegrated.
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
3:36 a.m.
New subject: Changing Language
Just go to "Outlis" - "Preferences" - "General", and change
the language in
"Lange".
Then you have to reopen Gretl.
Regards
Leandro
2011/5/1 Anutechia Asongu <simplice_peace(a)yahoo.com>
Hi All,
Could any one be of help in gisting me on how to change the
language from French to English?. I'll be greatful
--- On *Sat, 4/30/11, Allin Cottrell <cottrell(a)wfu.edu>* wrote:
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Saturday, April 30, 2011, 7:17 PM
On Sun, 1 May 2011, Talha Yalta wrote:
> 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.
OK.
> If it is the other way around, then I report c=0 as the test
> result.
On the trace test, that result would seem anomalous, and
indicative of a small-sample problem. If there's "enough evidence"
to reject c=1 (with an alternative of c=2), then concluding that
c=0 is problematic.
> As you know, sometimes the results can be contradictory so that c=0
> and c=1 are rejected (or not rejected) simultaneously.
That doesn't seem contradictory: if both c=0 and c=1 are rejected,
that favors the hypothesis that both series are stationary. If
neither c=0 nor c=1 is rejected that suggests they're both
non-stationary, and not cointegrated.
Allin Cottrell
_______________________________________________
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Gretl-users(a)lists.wfu.edu <http://mc/compose?to=Gretl-users@lists.wfu.edu>
http://lists.wfu.edu/mailman/listinfo/gretl-users
_______________________________________________
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3:41 a.m.
New subject: Changing Language
Thank you very much Zipitria
--- On Sat, 4/30/11, Leandro Zipitria <leandro.zipitria(a)gmail.com> wrote:
From: Leandro Zipitria <leandro.zipitria(a)gmail.com Subject:
Re: [Gretl-users] Changing Language
To: "Gretl list" <gretl-users(a)lists.wfu.edu Date:
Saturday, April 30, 2011, 8:36 PM
Just go to "Outlis" - "Preferences" - "General", and change
the language in "Lange".
Then you have to reopen Gretl.
Regards
Leandro
2011/5/1 Anutechia Asongu <simplice_peace(a)yahoo.com
Hi All,
Could any one be of help in gisting me on how to change the language from French
to English?. I'll be greatful
--- On Sat, 4/30/11, Allin Cottrell <cottrell(a)wfu.edu> wrote:
From: Allin Cottrell <cottrell(a)wfu.edu Subject:
Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users(a)lists.wfu.edu Date:
Saturday, April 30, 2011, 7:17 PM
On Sun, 1 May 2011, Talha Yalta wrote:
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
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
reject c=1, I report c=1.
OK.
If it is the other way around, then I report c=0 as the test
result.
On the trace test, that result would seem anomalous, and
indicative of a small-sample problem. If there's "enough evidence"
to reject c=1 (with an alternative of c=2), then concluding that
c=0 is problematic.
As you know, sometimes the results can be contradictory so that c=0
and c=1 are rejected (or not rejected) simultaneously.
That doesn't seem contradictory: if both c=0 and c=1 are rejected,
that favors the hypothesis that both series are stationary. If
neither c=0 nor c=1 is rejected that suggests they're
both
non-stationary, and not cointegrated.
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
_______________________________________________
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11 a.m.
New subject: Changing Language
Another possibility is to change the way gretl is called. For example,
right-click on the gretl icon and, in properties, change the command to
run gretl adding the parameter "-e", for example in my case:
"C:\Archivos de programa\gretl\gretlw32.exe" -e
El 01/05/11 05:41, Anutechia Asongu escribió:
Thank you very much Zipitria
--- On *Sat, 4/30/11, Leandro Zipitria /<leandro.zipitria(a)gmail.com>/*
wrote:
From: Leandro Zipitria <leandro.zipitria(a)gmail.com>
Subject: Re: [Gretl-users] Changing Language
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Saturday, April 30, 2011, 8:36 PM
Just go to "Outlis" - "Preferences" - "General", and
change the
language in "Lange".
Then you have to reopen Gretl.
Regards
Leandro
2011/5/1 Anutechia Asongu <simplice_peace(a)yahoo.com
</mc/compose?to=simplice_peace(a)yahoo.com>>
Hi All,
Could any one be of help in gisting me on how to change the
language from French to English?. I'll be greatful
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es
11:15 a.m.
New subject: Changing Language
Thanks Ignacio
--- On Mon, 5/2/11, Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es> wrote:
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es>
Subject: Re: [Gretl-users] Changing Language
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Monday, May 2, 2011, 4:00 AM
Another possibility is to change the way gretl is called. For example,
right-click on the gretl icon and, in properties, change the command to
run gretl adding the parameter "-e", for example in my case:
"C:\Archivos de programa\gretl\gretlw32.exe" -e
El 01/05/11 05:41, Anutechia Asongu escribió:
Thank you very much Zipitria
--- On *Sat, 4/30/11, Leandro Zipitria /<leandro.zipitria(a)gmail.com>/*
wrote:
From: Leandro Zipitria <leandro.zipitria(a)gmail.com>
Subject: Re: [Gretl-users] Changing Language
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Saturday, April 30, 2011, 8:36 PM
Just go to "Outlis" - "Preferences" - "General", and
change the
language in "Lange".
Then you have to reopen Gretl.
Regards
Leandro
2011/5/1 Anutechia Asongu <simplice_peace(a)yahoo.com
</mc/compose?to=simplice_peace(a)yahoo.com>>
Hi All,
Could any one be of help in gisting me on how to change the
language from French to English?. I'll be greatful
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
4:06 p.m.
New subject: Johansen question
Thank your Professor Cottrell. These explanations are very useful.
Best regards
Talha
On Sun, May 1, 2011 at 5:17 AM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Sun, 1 May 2011, Talha Yalta wrote:
> 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.
OK.
> If it is the other way around, then I report c=0 as the test
> result.
On the trace test, that result would seem anomalous, and
indicative of a small-sample problem. If there's "enough evidence"
to reject c=1 (with an alternative of c=2), then concluding that
c=0 is problematic.
> As you know, sometimes the results can be contradictory so that c=0
> and c=1 are rejected (or not rejected) simultaneously.
That doesn't seem contradictory: if both c=0 and c=1 are rejected,
that favors the hypothesis that both series are stationary. If
neither c=0 nor c=1 is rejected that suggests they're both
non-stationary, and not cointegrated.
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
--
“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
--
8:07 p.m.
New subject: Johansen question
On Sun, May 1, 2011 at 5:17 AM, Allin Cottrell
<cottrell(a)wfu.edu> wrote:
>>
>> For a bivariate case, if the trace test rejects c=0 and does not
>> reject c=1, I report c=1.
>
> OK.
>
>> If it is the other way around, then I report c=0 as the test
>> result.
>
> On the trace test, that result would seem anomalous, and
> indicative of a small-sample problem. If there's "enough evidence"
> to reject c=1 (with an alternative of c=2), then concluding that
> c=0 is problematic.
>
Yes, it's an unsatisfactory result in practice, and it actually seems to
happen on a regular basis. Nonetheless, it is known from the very
beginning (cf. Sören Johansen's book for example) that in principle you
need to apply the tests in a sequence from 0 to n-1, and never mind the
test results that come later in the sequence, if you already accepted an
earlier hypothesis. Otherwise you don't get a test setup with a
controlled overall size. (Apart from that, I also believe that it's not
necessarily a small-sample phenomenon, but so far that's just a hunch.)
cheers,
sven
8:29 p.m.
New subject: Johansen question
Thanks Sven
--- On Sun, 5/1/11, Sven Schreiber <svetosch(a)gmx.net> wrote:
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Sunday, May 1, 2011, 1:07 PM
On Sun, May 1, 2011 at 5:17 AM, Allin Cottrell
<cottrell(a)wfu.edu> wrote:
>>
>> For a bivariate case, if the trace test rejects c=0 and does not
>> reject c=1, I report c=1.
>
> OK.
>
>> If it is the other way around, then I report c=0 as the test
>> result.
>
> On the trace test, that result would seem anomalous, and
> indicative of a small-sample problem. If there's "enough evidence"
> to reject c=1 (with an alternative of c=2), then concluding that
> c=0 is problematic.
>
Yes, it's an unsatisfactory result in practice, and it actually seems to
happen on a regular basis. Nonetheless, it is known from the very
beginning (cf. Sören Johansen's book for example) that in principle you
need to apply the tests in a sequence from 0 to n-1, and never mind the
test results that come later in the sequence, if you already accepted an
earlier hypothesis. Otherwise you don't get a test setup with a
controlled overall size. (Apart from that, I also believe that it's not
necessarily a small-sample phenomenon, but so far that's just a hunch.)
cheers,
sven
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4736
days inactive
4737
days old
8 comments
6 participants
participants (6)
-
Allin Cottrell -
Anutechia Asongu -
Ignacio Diaz-Emparanza -
Leandro Zipitria -
Sven Schreiber -
Talha Yalta