On Tue, 8 May 2012, Allin Cottrell wrote: > Count me as one such! The Engle-Granger test regressions are > not rocket science and if one wants to do something > non-standard that's fine, but there's little point in larding > the "coint" command with additional options.
On a more general note: all inference in the unit root area is asymptotic. Actually, it's VERY asymptotic; in some cases, before p-values can be trusted at literal value, you may need to use thousands of observations, if not more. If your results change dramatically after dropping a few observations, I personally wouldn't trust too much either the full-sample results nor the reduced-sample ones. -------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti --------------------------------------------------
