EGTEST: RATS procedure to compute Engle-Granger test for Cointegration
AbstractComputes an Engle-Granger test for cointegration. The (approximate) critical values for t-test form are from MacKinnon, "Critical Values for Cointegration Tests", Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger, eds, London, Oxford, 1991, pp 267-276. Use the related procedure egtestresids.src if you already have the residuals.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00061.
Programming language: RATS
Requires: RATS 5.10
Date of creation:
Date of revision:
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
Other versions of this item:
- James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers, Queen's University, Department of Economics 1227, Queen's University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.