POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration
AbstractComputes a Phillips-Ouliaris(-Hansen) test for cointegration. This includes the first stage regression. Use the related procedure @POTESTRESIDS if you already have the residuals. Phillips and Ouliaris(1990), "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, vol. 58, no 1, 165-193. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends,"Journal of Econometrics, vol. 53, no 1-3, 87-121.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00247.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
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