On Tue, 16 Feb 2016, Salman Khan wrote:
I have a toy time series dataset consisting of two variables.
Running Engle-Granger tests, I noticed that the displayed "model"
in step 2 looks misspecifed. It could just be an optical issue
since the calculated values seem fine (haven't double check
against another package). Regardless of the option chosen in the
dialog box (constant, constant with trend, constant and
quadratic), the resulting model in step 2 is listed as:
model: (1-L)y = (a-1)*y(-1) + ... + e
However, Step 1 seems to be fine wherein the regression table
shows whether the constant, trend and quadratic terms are selected
or omitted.
Please tell us exactly what you are doing (which menu, which
options). In the final step of an Engle-Granger test based on a OLS
regression residual there had better not be any constant, etc.,
unless the OLS procedure is broken.
Allin Cottrell