tag:blogger.com,1999:blog-2198942534740642384.post5847685267671611547..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: p-Values for Cointegration Tests With Breaks in the DataDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-2198942534740642384.post-51328609246990268452012-02-19T08:14:31.984-08:002012-02-19T08:14:31.984-08:00Mark: Thanks for the question. I guess yo're r...Mark: Thanks for the question. I guess yo're referring to the Engle-Granger 2-step method of testing. In that case, the answer is "no". You need to include an intercept in the first-stage regression, and you may also include a linear trend. This choice affects the distribution of teh ADF test statistic at the second stage. That's why there are 2 sets of critical values - one for intercept-only at the first stage; and one for intercept and trend at he first stage. <br /><br />At the second stage, where you apply the ADF test to the first-stage residuals, this test MUST be applied using the no-drift/no-trend option, regardless of which choice yo made at stage 1.<br /><br />I hope this helps.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-28235031201954189182012-02-19T07:55:28.067-08:002012-02-19T07:55:28.067-08:00Dear Professor Giles
Please can you tell me if co...Dear Professor Giles<br /><br />Please can you tell me if cointegration tests are applicable to the estimated residuals for a regression through the origin OLS model? Are there published refereed articles on this topic?<br /><br />Thank you<br /><br />Mark DarrochAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-62667545617422481512011-08-09T10:26:06.815-07:002011-08-09T10:26:06.815-07:00Mohammad: Thanks for the kind feedback.
DGMohammad: Thanks for the kind feedback.<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-65077764659205912502011-08-07T01:28:44.533-07:002011-08-07T01:28:44.533-07:00dear prof DG
I hope that all econometricians have ...dear prof DG<br />I hope that all econometricians have read your good book , it has a good notes about P-value of co integration and fruitful information.<br />thanks sir <br />Dr. Mohammad Alaya<br />jordan-Hussein universityAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-23530925885668304012011-06-28T21:24:00.957-07:002011-06-28T21:24:00.957-07:00Thanks Ben - your earlier comments were much appre...Thanks Ben - your earlier comments were much appreciated.<br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22723690237653806972011-06-28T16:30:11.265-07:002011-06-28T16:30:11.265-07:00Al*R*ight, this is terrific! Many thanks!Al*R*ight, this is terrific! Many thanks!Benhttps://www.blogger.com/profile/03460160852554584365noreply@blogger.com