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COINTVOL: Stata module to evaluate Cointegration under volatility and heteroskedasticity

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

cointvol collects in one package the econometric methods for cointegration when the innovations are conditionally heteroskedastic (ARCH/GARCH), have nonstationary volatility (variance breaks, trending or stochastic volatility), or are heteroskedastic in other ways. The methods are implemented from the original papers. Each help file maps every computational step to the equation of its source and labels each option "Original" or "Extended implementation".

Suggested Citation

  • Merwan Roudane, 2026. "COINTVOL: Stata module to evaluate Cointegration under volatility and heteroskedasticity," Statistical Software Components S459907, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459907
    Note: This module should be installed from within Stata by typing "ssc install cointvol". 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/c/cointvol.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_adaptive.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_adaptive.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_diag.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_diag.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_ecm.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_ecm.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_adaptive.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_diag.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_garchrank.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_nullcoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_resid.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_restrict.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_stoch.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_eng_vecmgarch.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_engine.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_garchrank.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_garchrank.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_graph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_graph.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_hetcoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_hetcoint.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_nullcoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_nullcoint.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_rank.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_resid.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_restrict_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_select.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_select.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_simulate.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_simulate.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_stoch_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_table.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_table.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_estat.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cointvol_vecmgarch_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_cointvol_store.ado
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