COINTVOL: Stata module to evaluate Cointegration under volatility and heteroskedasticity

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: cointvol collects in one package the econometric methods for cointegration when the innovations are conditionally heteroskedastic (ARCH/GARCH), have nonstationary volatility (variance breaks, trending or stochastic volatility), or are heteroskedastic in other ways. The methods are implemented from the original papers. Each help file maps every computational step to the equation of its source and labels each option "Original" or "Extended implementation".

Language: Stata
Requires: Stata version 14
Keywords: cointegration; ARCH volatility; heteroskedasticity (search for similar items in EconPapers)
Date: 2026-09-26
Note: This module should be installed from within Stata by typing "ssc install cointvol". 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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Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cointvol.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_adaptive.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_adaptive.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_diag.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_diag.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_ecm.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_ecm.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_adaptive.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_diag.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_garchrank.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_nullcoint.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_resid.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_restrict.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_stoch.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_vecmgarch.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_engine.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_example.do
http://fmwww.bc.edu/repec/bocode/c/cointvol_garchrank.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_garchrank.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_graph.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_graph.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_hetcoint.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_hetcoint.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_nullcoint.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_nullcoint.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_rank.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_rank.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_resid.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_resid.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict_p.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_select.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_select.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_simulate.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_simulate.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch_p.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_table.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_table.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch.sthlp
http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_estat.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_p.ado
http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/_/_cointvol_store.ado

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