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hi; I have to estimate the engle granger 2 step procedure for my model. I already pass the step 1 and found that I have the long-run equilibrium (error term indicated non-stationary). My question is: I have quarterly data, I know that in general I should include 4 lags. However, is there any test in...

DO we have to test the unit root for the step dummy??
my dummy is like 000000000000011111111111111. (Which equal to 0 from the period 1978-1991 and equal to 1 from the period 1992-2008).

Hi I am modeling the VECM , follow by dynamic equation and pasemonious equation of money demand function. Then, I would like to test for the strucutral stability of the pasemonious equation by using the residual stability test such as Cumulative sum of recursive residuals (CUSUM) and Cumulative sum ...

hi; Thank you for your reply. Also, I have another question that when I found that I have the cointegration in the series as my residual is stationary, 1. what is my Error correction model look like and 2. how can I estimate by using Eviews? and 3. how can i know about how many lag length in my ECM ...

Hi; I have to estimate the engle-granger 2 step procedure of the money demand function. The model is ln(m2/cpi)=f(ln(ipi), ln(cpi), ln(reer), ln(MLR)) where MLR is minimum lending rate, reer is real effective exchange rate, ipi is industrial production index. After I estimate the step 1 and the ADF ...