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