tau vs. z statistic for engle-granger and phillips-ouliaris
Posted: Mon May 07, 2012 11:13 am
Hi there,
I am running engle-granger and phillips-ouliaris cointegration tests on 2 variables for about 25 countries (not panel).
I have weekly data and I'm doing rolling regression of 2 years to perform the tests to see for which periods the variables are cointegrated or not.
I am saving the results of both the tau and z statistic for each test. I would like to know if there's a preference for one of these ADF test statistics when their conclusions diverge.
I could not find the reference (Stock 1986, Hayashi 2000) in the reference list of the User guide to further guide me.
Thanks in advance,
Mara
I am running engle-granger and phillips-ouliaris cointegration tests on 2 variables for about 25 countries (not panel).
I have weekly data and I'm doing rolling regression of 2 years to perform the tests to see for which periods the variables are cointegrated or not.
I am saving the results of both the tau and z statistic for each test. I would like to know if there's a preference for one of these ADF test statistics when their conclusions diverge.
I could not find the reference (Stock 1986, Hayashi 2000) in the reference list of the User guide to further guide me.
Thanks in advance,
Mara