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Hello Glenn, I meant that the ADF test and also the cointegration critical values are derived from the same tables - only the "N" differs. In consequence different rows for the lookup are used. However, there is no totally different equation used when deriving the critical values. Thanks a...

Thank you Glenn for your explanation! I think I better understand the issue, now. In a nutshell - ADF critical values are derived assuming only one (N=1) integrated series while for the EG tests the exact number of N coefficients is taken into account. So Eviews uses the N=1 row data to calculate th...

Hello all, I have found the following two threads on the topic: http://forums.eviews.com/viewtopic.php?f=18&t=7467 http://forums.eviews.com/viewtopic.php?f=4&t=176 As I understand the critical values used in the ADF tests are not the same as those used in the Engle-Granger (EG) test. What is...

Hello all, we have an internal discussion about the difference of: (1) using the EViews integrated Engle-Granger test on cointegration or (2) estimating an FMOLS regression and then manually plugging the residuals into an ADF test (using MacKinnon critical values). Outcomes differ for the series ana...