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MULTICOINT: Stata module to estimate and test multicointegrated time-series in the sense of Granger-Lee (1989, 1990)

Author

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  • Merwan Roudane

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Abstract

Two I(1) flow series are said to be multicointegrated when their cumulated sums - which are I(2) by construction - cointegrate together and with the original flows. In that case there is a "second layer" of long-run equilibrium relating the stock variables to the underlying flow variables, on top of the standard I(1) cointegration y - β x ~ I(0). The classical example (Granger & Lee, 1989) is the production-sales-inventory identity: y_t (production) and x_t (sales) are I(1) and cointegrated; the level of inventories Q_t = Σ(y - x)_s would normally inherit one unit root, but in the presence of multicointegration Q_t (or a linear combination of Q_t and the flows) is stationary. Stock-flow data of housing starts / completions, income / consumption / wealth, and many other systems exhibit this feature (Engsted & Haldrup, 1999).

Suggested Citation

  • Merwan Roudane, 2026. "MULTICOINT: Stata module to estimate and test multicointegrated time-series in the sense of Granger-Lee (1989, 1990)," Statistical Software Components S459716, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459716
    Note: This module should be installed from within Stata by typing "ssc install multicoint". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_cv.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_graph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_sim.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_cv.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_graph.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/multicoint_sim.sthlp
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