Re: [Gretl-users] Cointegration Engle-Granger ?
On Tue, 25 Jul 2006, Sven Schreiber wrote:
Allin Cottrell schrieb:
>
> But I now think, from re-reading MacKinnon (1996), that the
> relevant factor here is not the setup of the DF regression
> for the residuals, but whether or not the cointegrating
> regression itself includes a constant.
My guru-ness is limited, but just about sufficient to confirm that...
Thanks.
Btw, what about the case with a deterministic trend? Is that
covered by gretl? Should it be?
It's not covered at present, for Engle-Granger (though it is in
the Johansen test). Yes, it should be there for completeness.
Allin.