[Gretl-users] Creating cointegrated series

Talha Yalta talhayalta at gmail.com
Wed Mar 7 09:56:27 EST 2012


Hi all,

I have a few questions/issues to report with a cointegration example
that I am trying to simulate using:

nulldata 500
setobs 1 1950 --time-series
series u1 = randgen(N,0,1)
series u2 = randgen(N,0,1)
series Z1 = 0
series Z1 = Z1(-1) + u1
series Z2 = 75 + 0.75*Z1 + u2

1)- When I run a VECM model afterwards, I always have one of the
inverse roots on the edge. Am I doing something wrong?
2)- Is there a better way of creating cointegrated series where I can
also set the EC coefficients (and/or the lag order)?
3)- Running the EG test, I notice that if the original series are
tested with a constant and/or a trend, the residuals in the 4th step
are also tested with a constant and/or trend. Can this be a bug, since
we are testing residuals?
4)- In the VECM specification window, one can choose up to 10
cointegrating vectors even if there are 2 series. IMHO, it would be
nice to put a limit depending on the number of series.

Thanks very much in advance for any help or suggestions.

Cheers
Talha


-- 
“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
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