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


  • Tom Doan

    () (Estima)

Programming Language



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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