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PRCOINT: Stata module to perform Perron and Rodriguez (2016) residual-based tests for cointegration under endogeneity and serial correlation

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

prcoint computes the residuals-based tests of Perron and Rodriguez (2016) for cointegration under endogeneity and serial correlation. The deterministic components are removed from each series by local-to-unity GLS detrending before the cointegrating regression is estimated. Seven statistics are reported based on the autoregressive spectral density estimator of the long-run variance with BIC lag selection. The tests remain valid under endogenous I(1) regressors and serially correlated errors. Three deterministic cases are covered (constant; constant and trend; constant with trending regressors).

Suggested Citation

  • Ozan Eruygur, 2026. "PRCOINT: Stata module to perform Perron and Rodriguez (2016) residual-based tests for cointegration under endogeneity and serial correlation," Statistical Software Components S459805, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459805
    Note: This module should be installed from within Stata by typing "ssc install prcoint". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/p/prcoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/p/prcoint.sthlp
    File Function: help file
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