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POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration

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  • Tom Doan

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    (Estima)

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    Abstract

    Computes 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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    File URL: http://www.estima.com/procs_perl/potest.src
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    Bibliographic Info

    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00247.

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    Programming language: RATS
    Requires: RATS 7.30
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    Handle: RePEc:boc:bocode:rts00247

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    Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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    Related research

    Keywords: Cointegration;

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