POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Computes a Phillips-Ouliaris(-Hansen) test for cointegration. This includes the first stage regression. Use the related procedure @POTESTRESIDS if you already have the residuals. Phillips and Ouliaris(1990), "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, vol. 58, no 1, 165-193. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends,"Journal of Econometrics, vol. 53, no 1-3, 87-121.

Language: RATS
Requires: RATS 7.30
Keywords: Cointegration (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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Downloads: (external link)
https://www.estima.com/procs_perl/potest.src (text/plain)

Related works:
Journal Article: Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends (1992)
Journal Article: Asymptotic Properties of Residual Based Tests for Cointegration (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00247

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