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POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes a Phillips-Ouliaris(-Hansen) test for cointegration using the residuals from an (already completed) regression. Use the related procedure @POTEST if you need to do the first stage regression as well. Phillips and Ouliaris(1990), "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, vol. 58, no 1, 165-193. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, vol. 53, no 1-3, 87-121.

Suggested Citation

  • Tom Doan, "undated". "POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals," Statistical Software Components RTS00248, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00248
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/potestresids.src
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    Keywords

    Cointegration; RATS;

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