Re: [Gretl-users] Cointegration Engle-Granger ?
Can I make a brief comment on this debate. A residual based test for
cointegration is base on the residuals from a cointegrating regression.
Depending on whether the variables in the cointegrating regression have non
zero drifts on should include a constants or a trend in the cointegration.
If this is done properly there is no need to include a constant or a trend
in the cointegrating regression. The ADF statistic may, however, depend to
some extent on the inclusion of a constant or a trend in the original
cointegrating regression. Can I recommend the account in Hayashi , F
(2000), Econometrics, Princeton University Press.
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
On 26/07/06, john w <johnw2006(a)hotmail.com> wrote:
Yes, maybe there could be a possibility to include seasonal dummies too?
Now this is possibile but ADF test is done for them too with, off course,
wrong results.
>From: Allin Cottrell <cottrell(a)wfu.edu>
>Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
>To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
>Subject: Re: [Gretl-users] Cointegration Engle-Granger ?
>Date: Tue, 25 Jul 2006 16:19:38 -0400 (EDT)
>
>On Tue, 25 Jul 2006, john w wrote:
>
>>I think that skip function is not working...
>>When this option is checked then initial variable DF testing should be
>>excluded. Right?
>
>There is now a new Windows snapshot in place, with a few more
Engle-Granger
>refinements.
>
>Allin.
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John C Frain
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