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?
Thank you
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
