Thanks for the tip. I think I've got the main message, though it looks a bit
complicated.
I think it's worhtwile consider having vector accessors in comung versions of
Gretl, also for test where you 'test down'.
Thanks
Torben
Citat Allin Cottrell <cottrell(a)wfu.edu>:
>
> On Wed, 31 Mar 2010, Torben Schmith wrote:
>
> > I want to do Monte-Carlo simulations with the Johansen cointegration
> > test. However, as far as I can see the $value and $test are not assigned
> > new values when this test is carried out.
> >
> > My question is if there is any way I can can get hold of the test output
> > (as variables) from the Johansen test? I can't find anything on this
> > issue in the Gretl-documentation.
>
> Hmm, the trouble is that the Johansen cointegration test produces
> an array of statistics (the lambda-max and trace tests for various
> hypotheses), so it can't be put into the framework of a pair of
> scalars ($test, $pvalue). I suppose the best thing would be to
> enable a matrix accessor after this test.
>
> In the meantime, however, it is possible to retrieve the test
> matrix using gretl's string-handling facilities. I illustrate this
> below (in somewhat rough and ready fashion), but note that for
> this to work you will need current CVS or snapshot, where we have
> some improvements in the sscanf function. The strategy is to write
> the test results out to file, then parse that file from within
> gretl.
>
> <script>
> open denmark
> scalar r = 2
> outfile "jtest" --write
> coint2 r LRM LRY
> outfile --close
> matrix Jmat = zeros(r, 6)
> string jtest = readfile("jtest")
> string tmp
> scalar x1 x2 x3 x4 x5 x6
>
> # get to the start of the test matrix
> jtest = strstr(jtest, "Rank")
> sscanf(jtest, "%128[^\n]", tmp)
> jtest = jtest + strlen(tmp) + 1
>
> sscanf(jtest, "%128[^\n]", tmp)
> jtest = jtest + strlen(tmp) + 1
> sscanf(tmp, "%lf %lf %lf [%lf] %lf [%lf]", \
> x1, x2, x3, x4, x5, x6)
> Jmat = {x1, x2, x3, x4, x5, x6}
>
> sscanf(jtest, "%128[^\n]", tmp)
> tmp = jtest + strlen(tmp) + 1
> sscanf(tmp, "%lf %lf %lf [%lf] %lf [%lf]", \
> x1, x2, x3, x4, x5, x6)
> Jmat |= {x1, x2, x3, x4, x5, x6}
>
> print Jmat
> </script>
>
> Allin Cottrell
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
*****************************************************************
Torben Schmith
Senior scientist
Center for Ocean and Ice
Danish Meteorological Institute
Lyngbyvej 100
DK-2100 Copenhagen Ø
DENMARK
Phone direct : +45 39 15 74 44
Phone switch : +45 39 15 75 00
Fax : +45 39 15 73 00
E-mail : ts(a)dmi.dk
Homepage : http://ocean.dmi.dk/staff/ts/ts.html
*****************************************************************
