New answers tagged cointegration
Neither. This question and its references suggest that the Philipis Ouliaris (1990) test is a significant improvement over EG ADF and JCT. Given the automation, you should probably run all three tests and see if there's any consensus. It actually surprises me there isn't (at least in Eviews) a function that shows a table of the EG, JCT, and PO results ...
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