[Gretl-users] Johansen

[Sven Schreiber]

javier garcia enriquez schrieb:

>  
> Johansen's tests
> Caso 3: constante no restringida
> Rank Eigenvalue Trace  p-value         Lmáx   p-value
>    0    0,33879      9,1310 [0,3600]      8,6874 [0,3204]
>    1    0,020900    0,44356 [0,5054]    0,44356 [0,5054]
>  

You don't find any cointegration here, although \lambda_1 = 0.34
surprises me, it's quite big. Could it be that your sample is pretty short?

> We will can accept that there are zero cointegration vectors if and only
> if we suposse a secuencial interpretation, don't we??? First look at the
> rank zero and, if this is not refused, then look at the rank 1
> and...until rank 'k'
> 

así es

-sven