[Gretl-users] Cointegration Engle-Granger ?

[john w]

Thnx Sven and Allin,
Now I have another question related to EG cointegration in gretl.
How do I know which is the optimal lag order in EG coint test?

Thanx


>From: Allin Cottrell <cottrell at wfu.edu>
>Reply-To: Gretl list <gretl-users at ricardo.ecn.wfu.edu>
>To: Gretl list <gretl-users at ricardo.ecn.wfu.edu>
>Subject: Re: [Gretl-users] Cointegration Engle-Granger ?
>Date: Mon, 24 Jul 2006 08:10:25 -0400 (EDT)
>
>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
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