Re: [Gretl-users] Cointegration Engle-Granger ?
Allin Cottrell schrieb:
I think I misinterpreted the criterion for selecting between MacKinnon's
tau_nc (no constant), tau_c (with constant), etc. I was using tau_nc for
Engle-Granger, on the grounds that there's no constant in the (A)DF test
for the residuals from the cointegrating regression (which of course
have mean zero by construction). But I now think, from re-reading
MacKinnon (1996), that the relevant factor here is not the setup of the
DF regression for the residuals, but whether or not the cointegrating
regression itself includes a constant. (If any time-series guru out
there can confirm my new interpretation, I'd be grateful!)
My guru-ness is limited, but just about sufficient to confirm that...
That is, I don't whether you picked the right statistics and right
values (not having the article in front of me), but the logic is correct.
Anyway, I've "corrected" the p-value-finding code on the assumption that
my new interpretation is correct. We now use tau_c if there's a
constant in the cointegrating regression (the default), or tau_nc if the
constant in that regression has been suppressed via the "--nc" flag to
the "coint" command.
Btw, what about the case with a deterministic trend? Is that covered by
gretl? Should it be?
-Sven