EGRANGER: Stata module to perform Engle-Granger cointegration tests and 2-step ECM estimation
Abstractegranger conducts tests for cointegration proposed by Engle and Granger (1987), reporting test statistics plus critical values calculated by MacKinnon (1990, 2010). egranger will also estimate an ECM (Error Correction Mechanism) model using the two-step procedure proposed by Engle and Granger (1987).
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S457210.
Programming language: Stata
Requires: Stata version 9
Date of creation: 01 Dec 2010
Date of revision: 20 Nov 2012
Note: This module should be installed from within Stata by typing "ssc install egranger". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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