*
* Cointegration test from page 340
*
open data usa.dat
calendar(q) 1985
data(format=free,org=columns) 1985:01 2005:01 gdp inf f b
*
linreg b
# constant f
set e = %resids
*
* Auxiliary test regression
*
set de = e-e{1}
linreg de
# e{1} de{1}
*
* The procedure for doing this test is EGTESTRESIDS. EG stands for Engle-Granger.
* This test for cointegration is known as the Engle-Granger test. You could also
* use the DFUNIT procedure, but it would report the incorrect critical values.
* EGTESTRESIDS gives the same test statistic as DFUNIT would, but gives the proper
* critical values for the cointegration test.
*
@egtestresids(lags=1) e
*
* The EGTEST procedure does the whole cointegration test from the beginning,
* including running the initial least squares regression.
*
@egtest(lags=1)
# b f