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