[Gretl-users] Johansen

[John C Frain]

The Johansen trace and maximum eigenvalue statistics both have the same
null. (Rank(Pi)=r) but different alternatives.  The alternative for the
trace test is

Rank(Pi) > r

The alternative for the maximum eigenvalue test is rank(Pi)  = r+1.

John


On 26/10/06, javier garcia enriquez <javigarcia83 at yahoo.es> wrote:
>
> Hellooo;
>
>  At this moment we are doing a cointegration analysis and a doubt has come
> up about the nule hypothesis that your programme uses in the Johansen test.We
> don´t know if the maximum eigenvalue uses the same nule hypothesis as the
> trace contrast( as for instance, Eviews does) , I mean, if both of
> them contrast the hypothesis that there are, at most, "r" cointegration
> vectors or, on the contrary, as we have read in some papers, this is only
> done by the trace one, while the maximum eigenvalue contrasts that there are
> exactly "r" cointegration vectors.
>
> What we want to know exactly is if in your programme both of them use the
> same nule hypothesis ( at most "r" cointegration vectors) or the trace one
> uses that one, while the maximum eigenvalue uses the other one ( exactly "r"
> cointegration vectors).
> Seeing the results we have got, we think that both of them use the same
> one cause, if it isn´t like that, the contrast of the maximum eigenvalue
> would say it exists 0 and 1 cointegration vectors at the same time.
>
> Thanks
> Javi
>
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-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com
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