Hello gretl community, I am just writing a function for estimating the test statistics for the Johansen cointegration test recursively over time. So I have to define a base sample which is taken for the initial estimation and a horizon over which to add observations each round. I did not find anything which refers to this problem. I was thiking to use a string but am not sure how to do this there.
ATM I've got something like: function matrix joh_coint_exog (scalar model "1=no exogenous variables, \ 2=only unrestricted exogenous, 3=only restricted exogenous,\ 4=unrestricted and restricted exogenous", scalar p "lag length",\ list Y "List of endogenous", list X "List of unrestricted \ exogenous", list R "List of weakly exogenous", \ scalar case "1=nc, 2=rc, 3=default, 4=crt, 5=ct") Setting the base and recursive samples is still needed. Does anybody know how to implement these things? Best, Artur
