| File Name | Description |
| COINTPO.SRC | Computes Phillips-Ouliaris multivariate cointegration statistic. |
| By: Francisco Goerlich, 1/20/1994. | |
| Version: 4 or later. Reference: Phillips; Ouliaris | |
| DOLS.SRC | Implements Stock and Watson's Dynamic OLS estimation of Cointegrating Vectors. We recommend that you download DOLS.ZIP a PK-Zip archive which includes the procedure, a read-me file, an example program and two datafiles. If you just want the procedure file, download DOLS.SRC. |
| By: Ken Hirayama, 7/16/2004. | |
| Version: 4 or later. Reference: Stock; Watson | |
| EGCRTVAL.SRC | Computes 'exact' critical values for the Dickey-Fuller and the Engle-Granger cointegration tests from the response surface regression in MacKinnon (1991). |
| By: Stephan Kohns, 2/14/2001. | |
| Version: 4 or later. Reference: MacKinnon | |
| EGTEST.SRC | Computes an Engle-Granger test for cointegration. The (approximate) critical values for t-test form are from MacKinnon, "Critical Values for Cointegration Tests", Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger, eds, London, Oxford, 1991, pp 267-276. Requires the separate MacKinnon CV procedure. Use the related procedure EGTESTRESIDS if you already have the residuals. |
| By: Estima, 7/23/2005. | |
| Version: 6 or later. Reference: Engle; Granger; MacKinnon | |
| EGTESTRESIDS.SRC | 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 instead if you need to do the first stage regression as well. |
| By: Estima, 7/23/2005. | |
| Version: 6.01 or later. Reference: Engle; Granger; MacKinnon | |
| FM.SRC | Estimates a cointegrating relation among the listed variables using fully modified least squares. Minor update in April, 2007 to fix issue with range used on final regression. |
| By: Estima, 4/10/2007. | |
| Version: 6 or later. Reference: Hansen; Phillips | |
| FMOLS.SRC | Fully modified estimation of cointegrating regressions. |
| By: Evens Salies, 3/29/2005. | |
| Version: 4 or later. Reference: Hansen (Bruce) | |
| GREGORYHANSEN.SRC | Implements the Gregory-Hansen cointegration test ("Residual-based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics (1996)). The cointegrating regression is allowed to have a level break, a full structural break, or a trend with a level break. The procedure determines the break point by finding the minimum value for the ADF statistic. (Renamed from GREGHANS.SRC in July, 2005). |
| By: Estima, 7/25/2005. | |
| Version: 5 or later. Reference: Gregory; Hansen | |
| GonzaloGrangerJBES1995.zip | Replication of the interest rates example in Gonzalo, J., and C.W.J. Granger (1995), "Estimation of common long memory components in cointegrated systems", Journal of Business & Economic Statistics 13:1, 27-36. |
| By: Estima, 3/1/2007. | |
| Version: 6.2 or later. Reference: Gonzalo; Granger | |
| HansenSeoJOE2002.zip | Replication file for Hansen and Seo, "Testing for two-regime threshold cointegration in vector error-correction models", Journal of Econometrics 2002, vol 110, pp 293-318. |
| By: Estima, 3/1/2007. | |
| Version: 6.2 or later. Reference: Hansen; Seo | |
| JOHMLE.SRC | Computes Johansen lambda tests for cointegrating rank, and the ML estimator for a single cointegrating vector. Updated in February, 2006, October, 2006, and February, 2007, to include additional options and improved output. |
| By: Estima, 4/1/2007. | |
| Version: 6 or later. Reference: Johansen | |
| MACKINNONCV.SRC | Computes 'exact' critical values for the Dickey-Fuller and the Engle-Granger cointegration tests from the response surface regressions in MacKinnon (1991). (Renamed from MACKCVAL.SRC) |
| By: Estima, 12/7/2003. | |
| Version: 6 or later. Reference: |
|
| PANCOINT.SRC | PANCOINT.SRC is a new version of Peter Pedroni's panel data cointegration/unit root testing methodology. Now in the form of the procedure, this is much easier to use than the old example program version (PANCOINT.PRG), and includes several important revisions by Prof. Pedroni. |
| By: Peter Pedroni, 9/12/2006. | |
| Version: 5.1 or later. Reference: |
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| SWDOLS.SRC | Estimates cointegrating vectors using Stock and Watson's dynamic OLS from "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica 1993, vol. 83, pp. 1097-1107. |
| By: Estima, 2/15/2006. | |
| Version: 6 or later. Reference: Stock; Watson | |
| SWTRENDS.SRC | Test for cointegration rank via common trends, from Stock and Watson, "Testing for Common Trends", JASA 1988, vol. 83, pp. 1097-1107. |
| By: Estima, 2/15/2006. | |
| Version: 6 or later. Reference: Stock; Watson | |
| ZIVOT.SRC | Zivot and Andrews unit root test. Allows for a single break in the intercept, the trend or both. "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis." JBES 10 (1992), 251-70) |
| By: Estima, 7/25/2005. | |
| Version: 5.1 or later. Reference: Andrews; Zivot | |