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

Hi guys, I tried the Engle-Granger cointegration test but I noticed something. Here is my procedure: 1.I estimated a equatation in cointegration dialogue with the following variables l_CPI, l_REER, MMR and l_Y using 12 lags and got these results down. 2. These ADF tests for these variables are wright and the results are the same if you do ADF tests through main Gretl window using the same number of lags. 3.In step 5 we have the cointegration results and they are the same if you estimate a OLS model through main Gretl window. 4.In step 6 we have ADF tests for the residuals. Tests are without a constant. I tried to check the same test through main Gretl window using the same specification ie. I saved residuals from OLS regression (which I done through the main Gretl window) and tested with the ADF test without a constant. Here are the results: > 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?