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RE: st: cointegration


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: cointegration
Date   Fri, 6 Dec 2002 12:45:49 -0000

Daniel Mackay
> 
> 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
 
A search using -findit- using keywords such 
as cointegration or Johansen finds several 
items, some of which predate Stata 6. 

Nick 
n.j.cox@durham.ac.uk 

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