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Re: st: cointegration


From   "Daniel Mackay" <dfmk2p@clinmed.gla.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cointegration
Date   Fri, 06 Dec 2002 10:24:28 -0100

Jennifer,

there is no command for cointegration as such. One defines an OLS regression and then tests the residuals to ensure they are white noise- if they are you're regression is a co-integrating relationship.

On the other hand Johansen's method of testing for co-integration is better but I am not aware that STATA 6 has the capability to test for co-integration using Johansen's method. In fact I'm pretty sure it has no Johansen 'command'.

Use another package, EViews for example if you want to use Johansen's method otherwise you're stuck with OLS and testing residuals


Danny







-----Original Message-----
From: "Jennifer Ng" <ycng@telus.net>
To: <statalist@hsphsun2.harvard.edu>
Date: Thu, 5 Dec 2002 20:29:27 -0800
Subject: st: cointegration

Hi,
I am a user of Stata 6.  Is there any command for cointegration?
Cheers...Jennifer
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Dr Daniel F Mackay,
Department of General Practice,
4 Lancaster Crescent,
GLASGOW,
G12 0RR

Tel: 0141 211 1666
Fax: 0141 211 1667
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