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Re: st: Testing Cointegration


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Testing Cointegration
Date   Thu, 7 Feb 2013 20:44:44 -0500

Daniel,
   The Johansen trace test and Johansen maximum eigenvalue
test are available to test for the rank of the companion matrix
in a vector error correction model.  The vector autoregression
post-estimation command is called vecrank.
    Cheers,
            Robert


On Thu, Feb 7, 2013 at 8:41 PM, Daniel - <daesp@msn.com> wrote:
> Thank you Robert. I will looking that.
>
> Daniel Suarez
>
> ----------------------------------------
>> From: bob.yaffee@nyu.edu
>> Date: Thu, 7 Feb 2013 20:39:35 -0500
>> Subject: Re: st: Testing Cointegration
>> To: statalist@hsphsun2.harvard.edu
>>
>> Daniel,
>> Have you looked into the trace test or the maximum eigenvalue test?
>> Robert
>>
>>
>> On Thu, Feb 7, 2013 at 6:11 PM, Daniel - <daesp@msn.com> wrote:
>> >
>> > Hi @ll.
>> >
>> > Is there any routine for testing cointegration?
>> >
>> > Thanks.
>> >
>> > *
>> > * For searches and help try:
>> > * http://www.stata.com/help.cgi?search
>> > * http://www.stata.com/support/faqs/resources/statalist-faq/
>> > * http://www.ats.ucla.edu/stat/stata/
>>
>>
>>
>> --
>> Robert A. Yaffee, Ph.D.
>> Research Professor
>> Silver School of Social Work
>> New York University
>>
>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>>
>> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/



-- 
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


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