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Whithin the Engle Granger method to test cointegration... Say you have estimated your static model Y = a + b X and have saved your residuals in RES. Now The following step would be to estimate D(Y) = D(Y(-1)), D(X), D(X(-1)), ... , RES(-1). Do you also include a constant to this equation? In my cour...

Actually, I have an additional question. The residual serial correlation LM test for VAR tests about the same right? That there is no autocorrelation left in your residuals. How come, if Eviews7 calculates the correct amount of degrees of freedom that it is actually the Eviews 6 output that is more ...

Thanks for your swift response.

I get different results switching between Eviews 7 and Eviews 6 for the portmanteau test for autocorrelation in VAR model. Note that the difference is situated in the degrees of freedom and following the probability levels. All the other values are identical. Can anyone explain the difference ? More...