Hello,
I tried Engle-Granger Cointegration Test GUI on cvs build Jan 23 in my Windows
XP computer.
If I choose test-down from maximum lag order, the ADF test result is not shown.
I use australia data and lag order 4. Is it only in my computer? I've also
tried on 1.7.9, but it runs OK.
Thanks.
Yuniarto Hadiwibowo
The result I get:
Step 1: testing for a unit root in lpus
Step 2: testing for a unit root in lpau
Step 3: cointegrating regression
Cointegrating regression -
OLS estimates using the 77 observations 1972:1-1991:1
Dependent variable: lpus
coefficient std. error t-ratio p-value
---------------------------------------------------------
lpau 0.935025 0.00299947 311.7 7.78e-120 ***
Mean dependent var 4.324348 S.D. dependent var 0.364635
Sum squared resid 1.133150 S.E. of regression 0.122106
R-squared 0.999219 Adjusted R-squared 0.999219
Log-likelihood 53.16570 Akaike criterion -104.3314
Schwarz criterion -101.9876 Hannan-Quinn -103.3939
rho 0.988215 Durbin-Watson 0.011277
Log-likelihood for PUS = -279.809
Step 4: Dickey-Fuller test on residuals
There is evidence for a cointegrating relationship if:
(a) The unit-root hypothesis is not rejected for the individual variables.
(b) The unit-root hypothesis is rejected for the residuals (uhat) from the
cointegrating regression.
