Re: [Gretl-users] Cointegration Engle-Granger ?

Yes, EG has a different distribution than ADF. gretl is right. cheers, Sven

>> From Engle-Granger cointegration: > Step 6: Dickey-Fuller test on residuals > Augmented Dickey-Fuller tests, order 12, for uhat > sample size 86 > unit-root null hypothesis: a = 1 > > test without constant > estimated value of (a - 1): -0,333671 > test statistic: t = -2,46579 > asymptotic p-value 0,4903 > > >> From maing Gretl window: > Augmented Dickey-Fuller tests, order 12, for uhat > sample size 86 > unit-root null hypothesis: a = 1 > > test without constant > model: (1 - L)y = (a-1)*y(-1) + ... + e > estimated value of (a - 1): -0,333671 > test statistic: t = -2,46579 > asymptotic p-value 0,01324 > > Test statistics and estimated values, sample size are the same, but > p-values are different? >> From the first test ie. E-G one could conclude that there is no > cointegration and from the second (from OLS saved residuals) that there > is a cointegration relationship. > Why is that? > Did I make same mistaque in comparing? > >

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