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Re: st: cointegration


From   ycng@telus.net
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cointegration
Date   Mon, 9 Dec 2002 13:24:20 -0800

Thanks, Daniel.

Dear statlist,
I am a user of Stata 6 and want to run cointegration.  I browse some websites 
and give me a impression that command called "coint" is available in Stata 7.  
However, when I check the stata 7 reference guide, I cannot see it.  Can Stata 
7 run it?
Cheers...Jennifer


Quoting Daniel Mackay <dfmk2p@clinmed.gla.ac.uk>:

> 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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> 




*
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