[Gretl-users] Cointegration Engle-Granger ?

[John C Frain]

Can I make a brief comment on this debate.  A residual based test for
cointegration is base on the residuals from a cointegrating regression.
Depending on whether the variables in the cointegrating regression have non
zero drifts on should include a constants or a trend in the cointegration.
If this is done properly there is no need to include a constant or a trend
in the cointegrating regression.  The ADF statistic may, however, depend to
some extent on the inclusion of a constant or a trend in the original
cointegrating regression.  Can I recommend the account in Hayashi , F
(2000), Econometrics, Princeton University Press.

John C Frain
Economics Department
Trinity College Dublin
Dublin 2


On 26/07/06, john w <johnw2006 at hotmail.com> wrote:
>
> Yes, maybe there could be a possibility to include seasonal dummies too?
> Now this is possibile but ADF test is done for them too with, off course,
> wrong results.
>
>
> >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: Tue, 25 Jul 2006 16:19:38 -0400 (EDT)
> >
> >On Tue, 25 Jul 2006, john w wrote:
> >
> >>I think that skip function is not working...
> >>When this option is checked then initial variable DF testing should be
> >>excluded. Right?
> >
> >There is now a new Windows snapshot in place, with a few more
> Engle-Granger
> >refinements.
> >
> >Allin.
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-- 
John C Frain
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