Re: [Gretl-users] displayed Engle-Granger model missing terms
Am 17.02.2016 um 03:21 schrieb Salman Khan:
Step 2 is where i have concerns since I was expecting a b0 term in
model: (1-L)y = (a-1)*y(-1) + ... + e I explicitly chose to include a
constant, therefore I was expecting something like: model: (1-L)y =
b0 + (a-1)*y(-1) + ... + e
Allin is quite right, there had better not be a constant in the final
step. If you were expecting it in there, then I recommend to refresh
your Engle-Granger memory. (Hint: We're talking about estimated OLS
residuals here.)
cheers,
sven