Re: [Gretl-devel] some 'coint' interface details (and questions)
On Tue, 13 Nov 2018, Sven Schreiber wrote:
Am 13.11.2018 um 18:55 schrieb Allin Cottrell:
> On Mon, 12 Nov 2018, Sven Schreiber wrote:
[...]
>> - adf and coint2 have a --seasonals option, but 'coint' doesn't,
according
>> to the doc and the missing GUI item. Any particular reason why?
>
> I guess not. But if we enabled it for "coint" would we want to include the
> seasonals in the final regression (ADF test on uhat from the cointegrating
> regression)? Or only in the initial ADF tests?
Well, I haven't talked about the initial ADF tests, because in my view they
are not part of the Engle-Granger test which presupposes I(1) variables I'd
say. [...]
What I meant was in the same place where all other deterministics appear, in
the cointegrating regression. (And by implication then also in the previous
ADF tests, if selected, I guess.) Definitely not also in the final residual
test regression.
OK, makes good sense. That interpretation of the --seasonals option
for "coint" is now in git. The doc still needs updating; hopefully
that (and revised snapshots) will follow tomorrow.
Allin