On Tue, 9 Jul 2019, marta.regulez(a)ehu.es wrote:
Using in gretl the Engle and Granger method to test for
cointegration, if you set a maximum lag order allowing gretl to
choose the optimum lag order using AIC, you do not get the
information on the number of lags actually chosen in the ADF test
on the residuals of the cointegrating regression. You have it on
the ADF test in the series though.
Please tell us what version of gretl you're running. The information
you're looking for is provided in current gretl (at least in the
example I just tried).