I have just begun to study Pairs Trading strategy as a part of my assignment for an internship. My purpose is to analyse any two stocks/commodities for possible co-integration. I made a VBA code where I take the OLS of the data and test the residual of the data for stationarity using the ADF test but I am confused as to what statistics to use for testing the null hypothesis? Till now I am considering the distribution for no drift and no trend since the average of the residual should ideally be zero. The other two options are constant but no trend and constant plus trend. I am using the MacKinnon (1996) one-sided p-values.
Please guide me through.
Another thing that I would like to know is, how much better is GLS-ADF test against the ADF test, and where can I find the details about the former test, as I couldn't find any resource on this test.