[Gretl-users] Johansen

Thu Dec 21 07:07:09 EST 2006

Hi;

  I wanted to know what are the hypothesis that Gretl uses in the Johansen’s tests (trace and lambda max). We think there is a very confused topic in the literature, because some articles (programs) says(uses) that both have the same hypothesis (H0: r  &#8804;  r0;  H1: r>r0), while others defend the following:

  Trace                            H0: r  &#8804;  r0        H1: r>r0     
  Lambda max                 H0: r =r0           H1: r>r0

  Where r0 is the number of coitegration vectors

  Is Gretl use either of them??

  Thanks
  Javi       

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