help for unit root test

[tanghanpost]

hi,
i am now confused with the unit root test. i read from some textbook that i can use the eviews's unit root test ouput critical value for adjudgement on unit root. but my teacher tell me it is wrong when i use the critical value for a unit root test on a residual from a equation, for AEG test has differnt critical value, but then how can i carry out a unit root test for the equation residual series?
thanks a lot!

[EViews Glenn]

Your instructor is correct. You could run the test on the residuals and then look up the critical values in the Engle-Granger paper or in one of the other sources for simulated values.

There was a recent set of threads on this issue.

http://forums.eviews.com/viewtopic.php? ... nger#p2364
http://forums.eviews.com/viewtopic.php? ... lues#p1647