EGRANGER: Stata module to perform Engle-Granger cointegration tests and 2-step ECM estimation

Mark Schaffer ()

Statistical Software Components from Boston College Department of Economics

Abstract: egranger conducts tests for cointegration proposed by Engle and Granger (1987), reporting test statistics plus critical values calculated by MacKinnon (1990, 2010). egranger will also estimate an ECM (Error Correction Mechanism) model using the two-step procedure proposed by Engle and Granger (1987).

Language: Stata
Requires: Stata version 9
Keywords: cointegration; residual test; Engle-Granger test; two-step ECM (search for similar items in EconPapers)
Date: 2010-12-01, Revised 2022-02-03
Note: This module should be installed from within Stata by typing "ssc install egranger". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/egranger.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/egranger.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/cs_egranger.do certification script (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457210

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