[Gretl-users] Cointegration Engle-Granger ?

[john w]

In addition....
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.

>From: "john w" <johnw2006 at hotmail.com>
>Reply-To: Gretl list <gretl-users at ricardo.ecn.wfu.edu>
>To: gretl-users at ricardo.ecn.wfu.edu
>Subject: Re: [Gretl-users] Cointegration Engle-Granger ?
>Date: Mon, 24 Jul 2006 10:25:33 +0100
>
>>Yes, EG has a different distribution than ADF. gretl is right.
>>cheers,
>>Sven
>
>Ok, but....
>All ADF tests on individual variables are right ie. thay are the same when 
>calculating from EG ADF tests and ADF tests from the main gretl window, 
>except for the residuals. Only ADF tests for the residuals are different.
>You mean that there is a difference in distribution only for the residuals?
>(coefficients are the same in EG and OLS)
>
>
>
>> >> From Engle-Granger cointegration:
>> > Step 6: Dickey-Fuller test on residuals
>> > Augmented Dickey-Fuller tests, order 12, for uhat
>> > sample size 86
>> > unit-root null hypothesis: a = 1
>> >
>> >   test without constant
>> >   estimated value of (a - 1): -0,333671
>> >   test statistic: t = -2,46579
>> >   asymptotic p-value 0,4903
>> >
>> >
>> >> From maing Gretl window:
>> > Augmented Dickey-Fuller tests, order 12, for uhat
>> > sample size 86
>> > unit-root null hypothesis: a = 1
>> >
>> >   test without constant
>> >   model: (1 - L)y = (a-1)*y(-1) + ... + e
>> >   estimated value of (a - 1): -0,333671
>> >   test statistic: t = -2,46579
>> >   asymptotic p-value 0,01324
>> >
>> > Test statistics and estimated values, sample size are the same, but
>> > p-values are different?
>> >> From the first test ie. E-G one could conclude that there is no
>> > cointegration and from the second (from OLS saved residuals) that there
>> > is a cointegration relationship.
>> > Why is that?
>> > Did I make same mistaque in comparing?
>> >
>> >
>>
>
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