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EGRANGER: Stata module to perform Engle-Granger cointegration tests and 2-step ECM estimation


  • Mark E Schaffer

    () (Heriot-Watt University)


egranger 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).

Suggested Citation

  • Mark E Schaffer, 2010. "EGRANGER: Stata module to perform Engle-Granger cointegration tests and 2-step ECM estimation," Statistical Software Components S457210, Boston College Department of Economics, revised 20 Nov 2012.
  • Handle: RePEc:boc:bocode:s457210
    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.

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