QUASICOINT: Stata module to perform Quasi-Cointegration Analysis without Unit Roots

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: quasicoint implements the quasi-cointegration framework of Duffy & Simons (2023), which extends standard cointegration analysis to settings where the dominant autoregressive roots may be near but not exactly equal to unity. The problem. Elliott (1998) showed that standard efficient estimators of cointegrating relationships (FM-OLS, DOLS, Johansen ML) suffer severe size distortions when roots are near but not exactly at unity — even within an O(n{c -1}) neighbourhood that is empirically indistinguishable from exact unit roots. The solution. Rather than defining cointegration in terms of integration orders — which becomes vacuous without exact unit roots — Duffy & Simons identify long-run equilibrium relationships via the {bf:relative decay rates of impulse responses}. The resulting quasi-cointegrating space (QCS) coincides exactly with the standard cointegrating space when unit roots are present, but remains meaningful when they are not.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; unit roots; quasi-integrated (search for similar items in EconPapers)
Date: 2026-05-09
Note: This module should be installed from within Stata by typing "ssc install quasicoint". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/q/quasicoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/quasicoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_quasicoint_display.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_quasicoint_export.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_quasicoint_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_quasicoint_plot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/quasicoint_example.do sample do-file (text/plain)

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