EGRANGER: Stata module to perform Engle-Granger cointegration tests and 2-step ECM estimation
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).
|Requires:||Stata version 9|
|Date of creation:||01 Dec 2010|
|Date of revision:||20 Nov 2012|
|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.|
|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|
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