EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes an Engle-Granger test for cointegration using the residuals from a previous first-stage regression, producing MacKinnon critical values. Use the related procedure EGTEST.SRC instead if you need to do the first stage regression as well.

Language: RATS
Requires: RATS 7.30
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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/egtestresids.src (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00062

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().