*
* Cointegration test from pp 373-375
*
open data consump.dat
calendar 1950
data(format=prn,org=columns) 1950:1 1993:1 year y c
*
linreg c / rescy
# constant y
*
* EGTESTRESIDS tests the residuals from a first-step Engle-Granger regression.
* The mechanics are the same as for a Dickey-Fuller test, but a different set of
* critical values are used.
*
@egtestresids(nvar=2) rescy