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.
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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
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