EGTESTRESIDS—Engle-Granger Cointegration Test

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

EGTESTRESIDS—Engle-Granger Cointegration Test

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@EGTESTRESIDS is a procedure for doing the Engle-Granger cointegration test on the residuals from a preliminary regression. This includes options for automatic lag length selection, with options similar to the ones that we've used in other procedures. The companion procedure @EGTEST is similar but does the preliminary regression first.

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Last bumped by TomDoan on Wed Oct 30, 2019 10:18 am.
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