Hi all,
I would like to use the Engle-Granger 2 step approach to test for
cointegration. My question is as follows. Where do I place the constant
term. Does it appear in step 1 or 2. I have read a numer of papers and it
appears in equation 1 some of the time and equation 2 other times. There are
instances where it appears in both 1 and 2. Any advice will be appreciated.
Thanks Declan
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