EGTEST: RATS procedure to compute Engle-Granger test for Cointegration

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes an Engle-Granger test for cointegration. The (approximate) critical values for t-test form are from MacKinnon, "Critical Values for Cointegration Tests", Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger, eds, London, Oxford, 1991, pp 267-276. Use the related procedure egtestresids.src if you already have the residuals.

Language: RATS
Requires: RATS 5.10
Keywords: Cointegration; Engle-Granger test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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