POTEST Procedure

@POTest performs a Phillips-Ouliaris(-Hansen) test for cointegration (Phillips and Ouliaris(1990),Hansen(1992)). This does the first stage regression taking the first endogenous variable on the list as the dependent variable. Use the related procedure @POTESTRESIDS if you already have the residuals.

@POTEST( options ) start end

# list of endogenous variables

Wizards

This is included as one of the tests in the Time Series>Cointegration Test Wizard.

Options

DET=NONE/[CONSTANT]/TREND

Indicates which deterministic components to include in the first stage regression. DET=NONE is included to maintain a common design with unit root tests, but isn't permitted.

LAGS=number of lags in Bartlett window [4]

TABLE/[NOTABLE]

TABLE shows a sensitivity table (all lags 0 to LAGS)

[PRINT]/NOPRINT

TITLE=title for output ["Phillips-Ouliaris-Hansen Test"]

NOPRINT suppresses the output

Variables Defined

%CDSTAT	unit root test statistic (REAL)
%NOBS	number of regression observations + 1 (tables are based upon this) (INTEGER)