El Thursday 27 March 2008 11:38:51 Mariusz Doszyń escribió: No. If you think, I suppose based on the graphic, that your series follows a quadratic trend, it is very probably your series really be I(2). In that case the ols estimators of the ADF equation in levels are inconsistent, and the t-statistic does not follow the DF distribution. You should start with the series in differences (+ linear trend), so testing first the second unit root. Yes. Under H_0 you will have an at most I(1) series, under H_a the series will be I(2). The deterministic part of the cointegration equation is not directly related to the deterministic part of the variables. I suggest to start with the more general model. -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.et.bs.ehu.es