EGTEST—Engle-Granger test for cointegration

[TomDoan]

@EGTEST is a procedure for doing the Engle-Granger residual-based cointegration test. This includes options for automatic lag length selection, with options similar to the ones that we've used in other procedures. @EGTEST uses @EGTESTRESIDS for the actual test on the residuals—it runs the preliminary regression and passes the residuals and options on to @EGTESTRESIDS for the final calculations.

Detailed description