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EGTEST: RATS procedure to compute Engle-Granger test for Cointegration

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

Computes 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.

Suggested Citation

  • Tom Doan, "undated". "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00061
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    File URL: https://www.estima.com/procs_perl/egtest.src
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    Keywords

    Cointegration; Engle-Granger test;

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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