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EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes an Engle-Granger test for cointegration using the residuals from a previous first-stage regression, producing MacKinnon critical values. Use the related procedure EGTEST.SRC instead if you need to do the first stage regression as well.

Suggested Citation

  • Tom Doan, "undated". "EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals," Statistical Software Components RTS00062, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00062
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/egtestresids.src
    Download Restriction: no
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