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st: Getting the 'egranger' command to use the entire sample


From   Alex Letko <aletko1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Getting the 'egranger' command to use the entire sample
Date   Thu, 16 Aug 2012 18:25:09 +0100

Hi Statalist,

The egranger command will not run the Engle-Granger 2-step
cointegration test accross my entire sample.  My sample consists of
3130 observations.  It only runs the test up to observation 2443, as
shown in the output below:

*****************************************
. egranger lnHH lnNBP
Replacing variable _egresid...

Engle-Granger test for cointegration                  N (1st step)  =     3130

N (test)      =     2443
------------------------------------------------------------------------------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -2.424            -3.432            -2.862            -2.567

Critical values from MacKinnon (1990, 2010)
*****************************************

As you can see, the 1st step regression is done with the entire
sample, while the second step is only done with 2443 observations.
This only happens after I tsset my data according to the actual dates
of my dataset.  Like this:

gen Date=date(date1, "DMY")
format Date %td
tsset Date

When I only tsset not according to the date, like this:

gen time=_n
tsset time

it works fine and uses all the observations in the first step and 3129
in the second step.

I try to outsmart Stata by using the "tin" command, like so:

egranger lnHH lnNBP if tin(07sep1999, 03jul2012)

but I get the same exact results as the output above.

Is there a way of getting egranger to use the entire sample in the second step?

Thank you very much and I appreciate the help.

Alex
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