[Gretl-users] Johansen

[javier garcia enriquez]

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  <=  r0;  H1: r>r0), while others defend the following:
   
  Trace                            H0: r  <=  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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