Re: [Gretl-users] issues with the DF/EG tests
On Tue, 8 May 2012, Allin Cottrell wrote:
Count me as one such! The Engle-Granger test regressions are
not rocket science and if one wants to do something
non-standard that's fine, but there's little point in larding
the "coint" command with additional options.
On a more general note: all inference in the unit root area is asymptotic.
Actually, it's VERY asymptotic; in some cases, before p-values can be
trusted at literal value, you may need to use thousands of observations,
if not more. If your results change dramatically after dropping a few
observations, I personally wouldn't trust too much either the full-sample
results nor the reduced-sample ones.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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