Hi,
I'm looking at the 'coint' (Engle-Granger test) command and
corresponding GUI interface more closely right now and have a couple of
questions.
- In a list message in 2013 Allin wrote that the test-down option now
has "MAIC" by default, and "MBIC" also exists. There is nothing in the
documentation about it, pointing to the adf command which talks about
"AIC" and "BIC" instead. So is that information obsolete, or what is
the
situation? BTW, in the GUI there is no way to influence the test down
method.
- Related to the test-down thing: In the coint output the number of
finally included lagged differences is very much hidden. While the max
lag order is printed out, the optimal lag order AFAICS is only
implicitly given as the numerator d.o.f. in the corresponding F-test. I
suggest that this is made as explicit as in the adf output.
- adf and coint2 have a --seasonals option, but 'coint' doesn't,
according to the doc and the missing GUI item. Any particular reason why?
That's it so far. Thanks!
Sven