Re: [Gretl-users] Difference in EG tests
On Thu, 20 Feb 2014, Allin Cottrell wrote:
On this sample-size issue, I see what's happening. When the
--skip-df option
is not given we run initial (A)DF tests on two or more variables, and we make
an effort to impose a uniform sample range, which is then also applied to the
final test of the residuals from the cointegrating regression. Under
--skip-df, when only one (A)DF test is run, we just let the sample default to
the longest available.
I agree that the resulting difference in the Engle-Granger test is hard to
justify, but like Sven I'm not sure what the "right" fix is.
Oh, what the heck, it's all asymptotic anyway: if adding/dropping a few
initial observations makes a big difference the test is not going to be
very meaningful. So I've provisionally (in CVS) made the final DF test in
Engle-Granger use the maximal sample (regardless of whether --skip-df is
given). If anyone has a strenuous objection, please say.
Allin Cottrell