[Gretl-users] johansen

[Allin Cottrell]

On Fri, 22 Dec 2006, Javier García wrote:

> And then the interpretation is sequentialy, isn't it?? That is, 
> first we look at the rank zero and, if it is refused, we look at 
> the rank one...until one of them doesn't be refused??? or, on 
> the contrary, we start with the biggest rank and we goes down??

First, the results you reported earlier:

Rank Eigenvalue   trace  p-value   l-max   p-value

    0    0.11637  13.736  0.3151    11.01    0.2600
    1    0.030163  2.726  0.6392     2.73    0.6380

Second, the guide from the gretl manual, adapted to the case of
just 2 variables:

  Rank	  Trace test	     Lmax test
 	   H0	  H1	      H0     H1
   ---------------------------------------
    0	  c = 0  c = 2       c = 0  c = 1
    1	  c = 1  c = 2       c = 1  c = 2

So, using alpha = 0.05 (or alpha = 0.10 for that matter):

Trace test:
    H0: c = 0: p-value 0.3151, fail to reject (so stop here)

Lmax test:
    H0: c = 0: p-value 0.2600, fail to reject (so stop here)

The two tests therefore agree: there is no evidence of 
cointegration between the variables.

Allin Cottrell