I created in Matlab two independent random walk through the command:
y = cumsum(randn(10000,2))
Although the series are clearly independent, when I try to run the function "CommonTrendsTest" in Gretl through the following script:
include CommonTrendsTest.gfn list totest = v1 v2 trend = 0 matrix NH = CommonTrendsTest(totest)
I get the following output:
teststat cv10% cv5% cv1% K=1=N-1 38,582 0,16200 0,21800 0,38300 K=0 1960,5 0,60700 0,74800 1,0740
I have done a lot of tests but I always get results similar to this.
I also tried to implement the Nyblom Harvey Test in Matlab through the following script:
T = size(y,1); y = y'; mu = mean(y,2); e = y-repmat(mu,1); z = cumsum(e,2); C = (1/(T^2))*z*z'; S = (1/T)*e*e'; csi = trace((S^-1)*C);
but I get similar results.
Thank you in advance for your help.