Re: [Gretl-users] Cointegration Engle-Granger ?
In addition....
under both ADF tests stays that: P-values based on MacKinnon (JAE, 1996)
I think(not sure) that if this two tests have exactly the same estimated
values and test statistics, and are based on the same p-value calculation
ie. MacKinnon then p-values for both must be the seme.
From: "john w" <johnw2006(a)hotmail.com>
Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
To: gretl-users(a)ricardo.ecn.wfu.edu
Subject: Re: [Gretl-users] Cointegration Engle-Granger ?
Date: Mon, 24 Jul 2006 10:25:33 +0100
>Yes, EG has a different distribution than ADF. gretl is right.
>cheers,
>Sven
Ok, but....
All ADF tests on individual variables are right ie. thay are the same when
calculating from EG ADF tests and ADF tests from the main gretl window,
except for the residuals. Only ADF tests for the residuals are different.
You mean that there is a difference in distribution only for the residuals?
(coefficients are the same in EG and OLS)
> >> 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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