[Gretl-users] Johansen

[Allin Cottrell]

On Thu, 21 Dec 2006, Javier García wrote:

> Sven, in other programs, like as Eviews, the null hypothesis are 
> specified. I want know which are the null hypothesis that Gretl 
> uses...

If you look at the online help for the "coint2" command, or in the 
PDF manual file, "Gretl Command Reference", under the entry for 
"coint2", you will find a very explicit statement of what are the 
null and the alternative hypotheses for the Trace and Lmax tests. 
Here is an extract:

<quote>
The following table is offered as a guide to the interpretation of 
the results shown for the test, for the 3-variable case. H0 
denotes the null hypothesis, H1 the alternative hypothesis, and c 
the number of cointegrating relations.

                  Rank     Trace test         Lmax test
                           H0     H1          H0     H1
                  ---------------------------------------
                   0      c = 0  c = 3       c = 0  c = 1
                   1      c = 1  c = 3       c = 1  c = 2
                   2      c = 2  c = 3       c = 2  c = 3
</quote>

Allin Cottrell