engle-granger test with deterministic regresors

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cat31
Posts: 2
Joined: Wed Mar 21, 2018 8:29 am

engle-granger test with deterministic regresors

Postby cat31 » Wed Mar 21, 2018 9:33 am

Hi,
I have a problem with the p-value for Engle-Granger cointegration test with user-defined deterministic regressors, when we perform it using 2 different procedures offered by Eviews.One procedure is to do this test from the windows of estimation results (after FMOLS for example) and the other is to do it from the windows of the group of variables.

Using my data, with the first procedure, I obtain:

Cointegration Test - Engle-Granger
Specification: Y1 Y2 Y3 Y4 Y5 C T1 T2 D1
Cointegrating equation deterministics: C T1 T2 D1
Null hypothesis: Series are not cointegrated
Automatic lags specification based on Schwarz criterion (maxlag=7)

Value Prob.*
Engle-Granger tau-statistic -4.936035 0.0396
Engle-Granger z-statistic -28.80904 0.0420


With the second procedure, I obtain:

Series: Y1 Y2 Y3 Y4 Y5
Null hypothesis: Series are not cointegrated
Cointegrating equation deterministics: C T1 T2 D1
Automatic lags specification based on Schwarz criterion (maxlag=7)

Dependent tau-statistic Prob.* z-statistic Prob.*
Y1 -4.936035 0.2154 -28.80904 0.2377



We obtain exactly the same values for the statistics (in red), but the p-values (in green) are different.
Even if a message indicates in the 2 cases that “p-values do not account for user-specified deterministic regressors”, I think that they have to be the same in these 2 procedures. Please, do you have an explanation for this problem or is it a bug?
Thank you in advance.

EViews Gareth
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Re: engle-granger test with deterministic regresors

Postby EViews Gareth » Wed Mar 21, 2018 9:57 am

Could you provide the workfile?
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cat31
Posts: 2
Joined: Wed Mar 21, 2018 8:29 am

Re: engle-granger test with deterministic regresors

Postby cat31 » Wed Mar 21, 2018 11:12 am

Yes, I send it to you by private mail.
Thank you.


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