[Gretl-users] Johansen's test

[Mariusz Doszyń]

Hello,
I've got a few questions about results of Johansen's test in Gretl. I don't know how exactly these results are computed. I've calculated eigenvalues according to the popular formula proposed by Johansen: det[lambda*I-[(S11)-1]*(S10)*[(S00)-1]*(S01)] - and results are different (0,58 and 0,23; in Gretl: 0,67 and 0,17). Do you know why? Could you also tell me how two first matrices in output were computed. They are called: beta (cointegrating vector) and alpha (fitted vectors)? I'm familiar with the idea which is behind, but I'd like to be able to compute them myself... And the last question. Do you know any sources on the internet where VAR, VECM models and connected methods are (clearly) described. I'm sorry for bothering you with such a problems but I've got some problems with access to literature now. Thanks a lot for your help.
Best wishes,
Mariusz Doszyń
Poland
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