[Gretl-users] DF unit root test for residual process in cointegration equation

Hello, I have just subscribed to Gretl users group. So firstly, I would like to welcome all users and apologize for all my language mistakes. I have got a problem with my analysis on cointegration. I was testing some data on cointegration so I tested the order of integration of time series (2 time series) and then estimated cointegration vector both in Gretl (Engle-Granger test) and on my own. I have received the differences between those estimations. I was wondering if someone could send me the proper way to test cointegration without using Gretl so as to achieve the same results as using Gretl. I am interested in no constant test with 0 and 1 lag. Where I can find the information on how Gretl is estimating tau_nc, estimated (a-1) and p-value for this test. Thank you for any help. Kind regards Piotr Kowalczyk ---------------------------------------------------- Dołącz do Wirtualnych! Ja już mam swój profil. Kliknij -> http://klik.wp.pl/?adr=http%3A%2F%2Fcorto.www.wp.pl%2Fas%2Finfo.html&...