MIXI12: Stata module for cointegration analysis of systems containing both I(1) and I(2) variables

Roudane, Merwan

MIXI12: Stata module for cointegration analysis of systems containing both I(1) and I(2) variables

Statistical Software Components from Boston College Department of Economics

Abstract: mixi12 provides a one-stop pipeline for the empirical analysis of multivariate systems where the integration order of the variables is unknown and may be a mixture of I(1) and I(2). Such systems arise naturally for nominal stock variables (broad money, monetary base, price indices) once levels - not growth rates - are taken; the benchmark applications are long-run money demand and purchasing-power parity.

Language: Stata
Requires: Stata version 14, dptest, multicoint from SSC (q.v.)
Keywords: order of integration; statonarity; nonstationary; I(2) (search for similar items in EconPapers)
Date: 2026-05-22
Note: This module should be installed from within Stata by typing "ssc install mixi12". 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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