[Gretl-devel] Re: VECM estimation: gretl vs JMulTi

Sven Schreiber svetosch at gmx.net
Tue Oct 10 03:57:41 EDT 2006


Riccardo Jack Lucchetti schrieb:
> On Thu, August 31, 2006 12:07, Sven Schreiber wrote:
> 
>> Ok I can reproduce that. As I suspected, the difference seems to relate to
>> deterministic terms, namely the treatment of seasonals.
>>
>> It very much looks like the seasonals in Jmulti are not centered, which
> makes > a difference if you have a restricted constant, as you know.
>> So this is a problem of Jmulti which is not nice at all, and thank you for
>> pointing it out. I'll contact Markus (the jmulti man) about it, but I think
>> he's on vacation right now.
> 
> Well spotted.
> 

fyi, starting with version 4.13 Jmulti now also uses centered seasonals
in vecm estimation (it always had done so in the cointegration test
module). Thank me for annoying Markus until he gave up ;-)

-sven



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