[Gretl-users] ADF, KPSS and Engle-Granger tests

[Mariusz Doszyń]

Dear gretl users,
Given variable y follows a quadratic trend.
1) In ADF test should be chosen variant with constant and linear trend and this test should be made for the levels of variable (not differences)? 
2) I'd like to confirm results obtained from ADF test by doing KPSS test. KPSS test should be made for first differences with chosing linear trend?
3) While testing cointegration (Engle -Granger test) should I chose version with constant (or with constant and linear trend)?
Thanks in advance.
Greetings,
Mariusz
Poland 
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