Thank your Professor Cottrell. These explanations are very useful. Best regards Talha
On Sun, May 1, 2011 at 5:17 AM, Allin Cottrell <cottrell(a)wfu.edu> wrote: > On Sun, 1 May 2011, Talha Yalta wrote: > >> I want to add a table which will show Johansen tests can give >> different results in small samples when different parameters are used. >> In the table, I just use the trace test results (since this is just to >> prove a point) and choose lags 1, 2, and 3. I also use the default >> case as well as the --ct option. This results in 6 combinations. >> >> Here is how I proceed: >> >> For a bivariate case, if the trace test rejects c=0 and does not >> reject c=1, I report c=1. > > OK. > >> If it is the other way around, then I report c=0 as the test >> result. > > On the trace test, that result would seem anomalous, and > indicative of a small-sample problem. If there's "enough evidence" > to reject c=1 (with an alternative of c=2), then concluding that > c=0 is problematic. > >> As you know, sometimes the results can be contradictory so that c=0 >> and c=1 are rejected (or not rejected) simultaneously. > > That doesn't seem contradictory: if both c=0 and c=1 are rejected, > that favors the hypothesis that both series are stationary. If > neither c=0 nor c=1 is rejected that suggests they're both > non-stationary, and not cointegrated. > > Allin Cottrell > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- “An expert is a person who has made all the mistakes that can be made in a very narrow field.” - Niels Bohr (1885-1962) --
