[Gretl-users] VECM estimation

[john w]

While I tested this, I realised that I couldn't reproduce Johansen's results
>with JMulTi; either I'm missing something, or JMulTi's VECM estimation goes
>through a different algorithm from ours. We do VECMs as per Johansen's 
>book;
>so does PcGive, and I believe there should be no differences between our
>results and what PcGive yields.

I already tested. Results i.e. estimation is the same in JMulTi and gretl.
You probabbly missed something when imposing cases in JMulTi. For example 
you maybe entered lags in JMulTi's VECM in levels and you should in 
differences. This could be one of the reasons.
But the results are exactly the same!
Also, in JMulTi you can impose restrictions (i.e. you can't reestimate model 
with imposed restrictions on beta) in Johansen estimation like in for 
example PcGive or Eviews. It's explained in help files. This feature is not 
implemented and it's a little bit strange because this kind of estimation is 
a "benchmark" technicque.
If it will be implemented in gretl this will be a very big plus!

If you want I could post how one should specify Johansen cases in JMulTi.

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