[Gretl-users] Cointegration Engle-Granger ?

[John C Frain]

Sorry that my previous email was done in such a hurry.  I think that you
have understood me perfectly.  GRETL was already consistent with what I
said.

John C Frain
Economics Department
Trinity College Dublin


On 26/07/06, Allin Cottrell <cottrell at wfu.edu> wrote:
>
> On Wed, 26 Jul 2006, John C Frain wrote:
>
> > 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.
>
> I take it you mean "in the final DF test regression" at the end
> there?
>
> What we do currently is consistent with your comment, as I
> understand it.  Based on the selection of case "nc", "c", "ct"
> or "ctt" we include or omit the constant, trend and
> trend-squared in the cointegrating regression.  When we do
> the DF test on the residuals from this regression, we do not
> include any deterministic terms, but we select the "tau
> statistic case" (that is, the distribution to which the "t"
> ratio should be referred) based on the setup of the
> cointegrating regression.
>
> > Can I recommend the account in Hayashi , F (2000),
> > Econometrics, Princeton University Press.
>
> Thanks for the reference.
>
> Allin.
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-- 
John C Frain
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