The EG-ADF test
A)is the similar to the DF-GLS test
B)is a test for cointegration
C)has as a limitation that it can only test if two variables, but not more than two, are cointegrated
D)uses the ADF in the second step of its procedure

Question

Quizplus · Accepted Answer

The EG-ADF test is a test for cointegration, which means it tests whether there is a long-run relationship between two or more variables. It is similar to the ADF and DF-GLS tests, but has some advantages over them. One limitation of the EG-ADF test is that it can only test if two variables are cointegrated, not more than two. The ADF test is used in the first step of the EG-ADF procedure, but other tests can also be used.

The EG-ADF Test