Re: [Gretl-users] Creating cointegrated series
On 07.03.2012 23:18, John C Frain wrote:
1) I think you will find that
vecm 1 1 Z2 Z1 --rc
estimates your system very well. I dont see the problem.
I think Talha means to see unit roots in the output; which is good news,
however, since the data were constructed to have them.
3) If the series are not cointegrated then the residuals from the
cointegrating regression may have a stochastic trend -- thus the
specification of the test. Hayashi has a very good account of the
Engle Granger cointegration test.
No, the (OLS) residuals will have mean zero. (Brownian bridge instead of
brownian motion IIRC.) So I tend to agree this could be a bug. BUT:
First due to sample shortening because of lags the exact mean-zero
property may be lost, which complicates things. And I think the model
representation of the residual-based-ADF-test in step 4 may just be
wrong, with the result being correct. You can easily check that by
manually replicating the steps.
hth,
sven