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

From: Allin Cottrell <cottrell(a)wfu.edu&gt; Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; 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 Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users