Shouldn't one look at AIC and BIC for this one?

john w <> wrote:
Thnx Sven and Allin,
Now I have another question related to EG cointegration in gretl.
How do I know which is the optimal lag order in EG coint test?


>From: Allin Cottrell
>Reply-To: Gretl list
>To: Gretl list
>Subject: Re: [Gretl-users] Cointegration Engle-Granger ?
>Date: Mon, 24 Jul 2006 08:10:25 -0400 (EDT)
>On Mon, 24 Jul 2006, john w wrote:
>>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.
>Please take a look at MacKinnon's 1996 article. The distributions, and
>hence the p-values, are *not* the same in the two cases of (a) a
>"stand-alone" ADF test on a single time-series and (b) an EG test based on
>the residuals from a cointegrating regression. In the latter case the
>distribution of what MacKinnon calls the tau statistic depends on the
>number of (possibly) cointegrated variables.
>Allin Cottrell
>Gretl-users mailing list

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