[Gretl-users] Cointegration Engle-Granger ?

[Mihai Nica]

Shouldn't one look at AIC and BIC for this one?

john w <johnw2006 at hotmail.com> wrote: 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 
>Reply-To: Gretl list 
>To: Gretl list 
>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
>_______________________________________________
>Gretl-users mailing list
>Gretl-users at ricardo.ecn.wfu.edu
>http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users

_________________________________________________________________
Windows Live� Messenger has arrived. Click here to download it for free! 
http://imagine-msn.com/messenger/launch80/?locale=en-gb


_______________________________________________
Gretl-users mailing list
Gretl-users at ricardo.ecn.wfu.edu
http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users


 		
---------------------------------
Yahoo! Music Unlimited - Access over 1 million songs.Try it free. 
-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20060724/bfe0d026/attachment.htm