NTCOINT: Stata module to provide test of nontrivial cointegration

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: ntcoint implements the squared-correlations ratio (SCR) test of Hualde, J. and J. Olmo (2026), "Testing for Nontrivial Cointegration", Journal of Business & Economic Statistics, doi:10.1080/07350015.2026.2638497. Standard cointegration methods cannot distinguish a genuine long-run equilibrium relationship from "trivial" cointegration, which arises merely because one of the series is stationary, so that a standard unit vector lies in the cointegrating space. Two independent processes, one I(0) and one I(1), are cointegrated in that formal sense while sharing no equilibrium at all. Testing for nontrivial cointegration with conventional tools requires a sequential procedure that is, in general, inconsistent.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; stationarity (search for similar items in EconPapers)
Date: 2026-10-29
Note: This module should be installed from within Stata by typing "ssc install ntcoint". 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/n/ntcoint.ado
http://fmwww.bc.edu/repec/bocode/n/ntcoint.sthlp
http://fmwww.bc.edu/repec/bocode/n/ntcoint_authcv1.mata
http://fmwww.bc.edu/repec/bocode/n/ntcoint_authcv2.mata
http://fmwww.bc.edu/repec/bocode/n/ntcoint_cv1.mata
http://fmwww.bc.edu/repec/bocode/n/ntcoint_cv2.mata
http://fmwww.bc.edu/repec/bocode/n/ntcoint_ecbyields.do
http://fmwww.bc.edu/repec/bocode/n/ntcoint_ecbyields.dta
http://fmwww.bc.edu/repec/bocode/n/ntcoint_example.do
http://fmwww.bc.edu/repec/bocode/n/ntcoint_methods.sthlp

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