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POCOINT: Stata module to perform Phillips-Ouliaris cointegration tests

Author

Listed:
  • Ozan Eruygur

    (AHBV University, Ankara, Turkiye)

Programming Language

Abstract

pocoint computes the four Phillips-Ouliaris (1990) residual-based tests of the null hypothesis of no cointegration: - Za: Phillips Z(alpha) coefficient test - Zt: Phillips Z(t) t-ratio test (default) - Pu: variance ratio test introduced in the paper - Pz: multivariate trace test (invariant to the normalization of the cointegrating regression)

Suggested Citation

  • Ozan Eruygur, 2026. "POCOINT: Stata module to perform Phillips-Ouliaris cointegration tests," Statistical Software Components S459692, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459692
    Note: This module should be installed from within Stata by typing "ssc install pocoint". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/p/pocoint.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pocoint.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pocoint_tables.mata
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pocoint_pv_table.dta
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pocoint_cv_table.dta
    Download Restriction: no
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