PRCOINT: Stata module to perform Perron and Rodriguez (2016) residual-based tests for cointegration under endogeneity and serial correlation

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: prcoint computes the residuals-based tests of Perron and Rodriguez (2016) for cointegration under endogeneity and serial correlation. The deterministic components are removed from each series by local-to-unity GLS detrending before the cointegrating regression is estimated. Seven statistics are reported based on the autoregressive spectral density estimator of the long-run variance with BIC lag selection. The tests remain valid under endogenous I(1) regressors and serially correlated errors. Three deterministic cases are covered (constant; constant and trend; constant with trending regressors).

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; cointegration; Perron; Rodriguez (search for similar items in EconPapers)
Date: 2026-07-19
Note: This module should be installed from within Stata by typing "ssc install prcoint". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/p/prcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/prcoint.sthlp help file (text/plain)

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