QUASICOINT: Stata module to perform Quasi-Cointegration Analysis without Unit Roots

quasicoint implements the quasi-cointegration framework of Duffy & Simons (2023), which extends standard cointegration analysis to settings where the dominant autoregressive roots may be near but not exactly equal to unity. The problem. Elliott (1998) showed that standard efficient estimators of cointegrating relationships (FM-OLS, DOLS, Johansen ML) suffer severe size distortions when roots are near but not exactly at unity — even within an O(n{c -1}) neighbourhood that is empirically indistinguishable from exact unit roots. The solution. Rather than defining cointegration in terms of integration orders — which becomes vacuous without exact unit roots — Duffy & Simons identify long-run equilibrium relationships via the {bf:relative decay rates of impulse responses}. The resulting quasi-cointegrating space (QCS) coincides exactly with the standard cointegrating space when unit roots are present, but remains meaningful when they are not.