[R-SIG-Finance] Engle Granger test critical values

[Guy Yollin]

Hi Reena,

If you're looking for residual based cointegration tests in R, you can use po.test in the package tseries or ca.po in the package urca.

If you're just looking for critical values for residual based cointegration tests, see table 10 here:

http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/jeremysmith/manual/statisticaltables.pdf

Or the classic Phillips Ouliaris paper available here:

http://cowles.econ.yale.edu/P/cp/p07a/p0746.pdf

Personally, I use the function ur.df from the package urca and the critical values from tables IIa/IIb/IIc from Phillips Ouliaris.

Hope this helps.

Best,

-- G


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Reena Bansal
Sent: Friday, October 02, 2009 8:19 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Engle Granger test critical values

Hi,

I am looking at the Engle Granger Cointegration methodology for two
variables. After testing for unit roots, the methodology requires to
perform the OLS on the two variable and check the residuals for unit
root using the Engle Granger test critical values instead of the
Augmented Dickey Fuller test critical values. 

Specifically I am looking for Table C in Applied Econometric Time Series
by Walter Enders (Second Edition, page 441) implementation in R. Does
anybody know if this is available in R?

Many thanks in advance,
Reena


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