Greetings! My question is in regard to the lag lenght selection for johansen cointegration test.
I have almost 3 thousand daily observations of exchange rates. To identify( according to information criteria) the appropiate lag lenght for J's test, i go to "var lag selection...". The results points to 1 or 6(different criteria give different results) day lag, anyhow they don't seem right to me. And i was thinking i shuold test down at least 100 days and see if it changes. Any advices??? As a side note, when i run OLS under different coinfigurations I notice certain 100+ day lag which are significant at 99% . > From: gretl-users-request(a)lists.wfu.edu > Subject: Gretl-users Digest, Vol 47, Issue 13 > To: gretl-users(a)lists.wfu.edu > Date: Thu, 9 Dec 2010 12:00:03 -0500 > > Send Gretl-users mailing list submissions to > gretl-users(a)lists.wfu.edu > > To subscribe or unsubscribe via the World Wide Web, visit > http://lists.wfu.edu/mailman/listinfo/gretl-users > or, via email, send a message with subject or body 'help' to > gretl-users-request(a)lists.wfu.edu > > You can reach the person managing the list at > gretl-users-owner(a)lists.wfu.edu > > When replying, please edit your Subject line so it is more specific > than "Re: Contents of Gretl-users digest..." > > > Today's Topics: > > 1. Re: Building Matrix Using the Dataset (Ignacio Diaz-Emparanza) > > > ---------------------------------------------------------------------- > > Message: 1 > Date: Thu, 09 Dec 2010 10:25:17 +0100 > From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es> > Subject: Re: [Gretl-users] Building Matrix Using the Dataset > To: Gretl list <gretl-users(a)lists.wfu.edu> > Message-ID: <4D00A07D.9010002(a)ehu.es> > Content-Type: text/plain; charset=ISO-8859-1; format=flowed > > El 07/12/10 14:16, Henrique Andrade escribi?: > > > > Dear Sven and Allin, I'd found a solution for my problem. Please take a > > look at the > > following script: > > > > *<script>* > > *scalar *mynumber = 9999 > > > > *list *variables = 1 > > *loop *i=2..144 > > variables += $i > > *endloop* > > > > *loop foreach *i variables > > *series *$i = misszero($i) + missing($i)*mynumber > > *endloop* > > > > *matrix *A = { *dataset *} > > *</script>* > > > > Thanks for your help! > > > > Best regards, > > -- > > Henrique C. de Andrade > > Dear Henrique, > > another alternative for your script: > > <script> > open Dados.gdt > scalar mynumber = 9999 > > list variables = dataset > > loop foreach i variables > series $i = ok($i)*$i + !ok($i)*mynumber > endloop > matrix A = { variables } > </script> > > -- > Ignacio Diaz-Emparanza > DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA) > UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO > T.: +34 946013732 | F.: +34 946013754 > www.ea3.ehu.es > > > > > > > ------------------------------ > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > End of Gretl-users Digest, Vol 47, Issue 13 > *******************************************
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Greetings! My question is in regard to the lag lenght selection for johansen cointegration test. I have almost 3 thousand daily observations of exchange rates. To identify( according to information criteria) the appropiate lag lenght for J's test, i go to "var lag selection...". The results points to 1 or 6(different criteria give different results) day lag, anyhow they don't seem right to me. And i was thinking i shuold test down at least 100 days and see if it changes. Any advices??? As a side note, when i run OLS under different coinfigurations I notice certain 100+ day lag which are significant at 99% . > From: [email protected] > Subject: Gretl-users Digest, Vol 47, Issue 13 > To: [email protected] > Date: Thu, 9 Dec 2010 12:00:03 -0500 > > Send Gretl-users mailing list submissions to > [email protected] > > To subscribe or unsubscribe via the World Wide Web, visit > http://lists.wfu.edu/mailman/listinfo/gretl-users > or, via email, send a message with subject or body 'help' to > [email protected] > > You can reach the person managing the list at > [email protected] > > When replying, please edit your Subject line so it is more specific > than "Re: Contents of Gretl-users digest..." > > > Today's Topics: > > 1. Re: Building Matrix Using the Dataset (Ignacio Diaz-Emparanza) > > > ---------------------------------------------------------------------- > > Message: 1 > Date: Thu, 09 Dec 2010 10:25:17 +0100 > From: Ignacio Diaz-Emparanza <[email protected]> > Subject: Re: [Gretl-users] Building Matrix Using the Dataset > To: Gretl list <[email protected]> > Message-ID: <[email protected]> > Content-Type: text/plain; charset=ISO-8859-1; format=flowed > > El 07/12/10 14:16, Henrique Andrade escribi?: > > > > Dear Sven and Allin, I'd found a solution for my problem. Please take a > > look at the > > following script: > > > > *<script>* > > *scalar *mynumber = 9999 > > > > *list *variables = 1 > > *loop *i=2..144 > > variables += $i > > *endloop* > > > > *loop foreach *i variables > > *series *$i = misszero($i) + missing($i)*mynumber > > *endloop* > > > > *matrix *A = { *dataset *} > > *</script>* > > > > Thanks for your help! > > > > Best regards, > > -- > > Henrique C. de Andrade > > Dear Henrique, > > another alternative for your script: > > <script> > open Dados.gdt > scalar mynumber = 9999 > > list variables = dataset > > loop foreach i variables > series $i = ok($i)*$i + !ok($i)*mynumber > endloop > matrix A = { variables } > </script> > > -- > Ignacio Diaz-Emparanza > DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA) > UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO > T.: +34 946013732 | F.: +34 946013754 > www.ea3.ehu.es > > > > > > > ------------------------------ > > _______________________________________________ > Gretl-users mailing list > [email protected] > http://lists.wfu.edu/mailman/listinfo/gretl-users > > End of Gretl-users Digest, Vol 47, Issue 13 > ******************************************* |
