I was wondering how I could interpret the results from the Spatial Econometric library's cadf and adf. Running cadf(TS1,TS2,0,1), I obtain the following:
Augmented DF test for co-integration variables:
CADF t-statistic # of lags AR(1) estimate
-5.20337048 1 -0.037845
1% Crit Value 5% Crit Value 10% Crit Value
-5.287 -4.728 -4.462
I then regress with: res = ols(TS1,TS2); And finally, I run adf(res.resid,0,1):
Augmented DF test for unit root variable:
ADF t-statistic # of lags AR(1) estimate
-4.939345 1 0.965756
1% Crit Value 5% Crit Value 10% Crit Value
-3.458 -2.871 -2.594
Why is the AR(1) estimate different between cadf and adf (1-0.965756 = 0.034244) ?
Thank you