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.
|Date of creation:|
|Date of revision:|
|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rts00247. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.