On May 5, 2011, at 9:10 PM, Lee Schulz wrote:
Hello,
I am doing an Engle Granger test on the residuals of two I(1)
processes.
I would like to get the MacKinnon (1996) critical value, say at
10%. I
have 273 observations with 5 integrated explanatory variables , so
that
k=4. Could someone help me with the procedure in R?
See if this helps:
http://search.r-project.org/cgi-bin/namazu.cgi?query=Engle+Granger+mackinnon&max=100&result=normal&sort=score&idxname=functions&idxname=Rhelp08&idxname=Rhelp10&idxname=Rhelp02
--
David Winsemius, MD
West Hartford, CT
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