[Gretl-users] Johansen
Allin Cottrell
cottrell at wfu.edu
Wed Jan 3 16:24:05 EST 2007
On Wed, 3 Jan 2007, enrico wrote:
> Johansen's test give me [re-formatted for legibility]
Rango Autovalore Test traccia Test L-max
0 0,88 181,7 [0%] 66,0 [0%]
1 0,76 115,7 [0%] 43,7 [2%]
2 0,58 71,9 [3%] 26,7 [29%]
3 0,50 45,3 [8%] 21,3 [27%]
4 0,34 24,0 [21%] 12,8 [49%]
5 0,30 11,2 [20%] 11,1 [15%]
6 0,00 0,17 [68%] 0,17 [68%]
> This is no cointegration H0: r=0
> or only 1 equation cointegrated H0: r=1 ????
The tests seem to indicate the presence of 2 cointegrating
relations (denoted 'c' below).
> Why p value is zero for both cases?
If you're talking about the first two tests in the Trace column,
the p-values are zero (to four decimal places) because both H0: c
= 0 and H0: c = 1 are strongly rejected in favour of the
alternative c = 7.
You should read the Help on this test: Cri Riagmonti has done a
nice translation to Italian. Here's what happening:
Trace test:
H0: c = 0; H1: c = 7: reject H0
H0: c = 1; H1: c = 7: reject H0
H0: c = 2; H1: c = 7: reject H0
H0: c = 3; H1: c = 7: fail to reject H0
Lmax test:
H0: c = 0; H1: c = 1: reject H0
H0: c = 1; H1: c = 2: reject H0
H0: c = 2; H1: c = 3: fail to reject H0
Allin Cottrell
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