*! version 3.0.0 *! coint -- perform single-equation cointegration tests *! Sean Becketti, April 1991. * modified by SRB 6/17/92 * lags synonym added, nlags replaced * dickey replaced with unitroot * findlag and detail options ignored program define coint version 3.0 local varlist "req ex min(2)" local options "Lags(int 0) Nlags(int 4) noFindlag Detail Trend Vector *" parse "`*'" local lags=cond(`lags',`lags',`nlags') /* SRB, 6/16/92 */ if (`lags'<0) { di in red "lags() must be >= 0" exit 198 } /* Estimate the cointegrating regression, grab the residuals, and run the Dickey-Fuller test on them. */ if "`trend'"!="" { tempvar trend qui gen long `trend' = _n } qui reg `varlist' `trend' if "`vector'"!="" {noi reg} /* Echo the cointegrating vector */ tempvar resid qui predict `resid', resid unitroot `resid', lags(`lags') end