coint |

Panel cointegration tests.

Syntax

pool_name.coint(option) pool_ser1 pool_ser2 [pool_ser3]...

Follow the pool name with the coint keyword, any options, and a list of two or more ordinary or pool series.

Options

You may specify the type using one of the following keywords:

Pedroni (default) | Pedroni (1994 and 2004). |

Kao | Kao (1999) |

Fisher | Fisher - pooled Johansen |

Depending on the type selected above, the following may be used to indicate deterministic trends:

const (default) | Include a constant in the test equation. Applicable to Pedroni and Kao tests. |

trend | Include a constant and a linear time trend in the test equation. Applicable to Pedroni tests. |

none | Do not include a constant or time trend. Applicable to Pedroni tests. |

a | No deterministic trend in the data, and no intercept or trend in the cointegrating equation. Applicable to Fisher tests. |

b | No deterministic trend in the data, and an intercept but no trend in the cointegrating equation. Applicable to Fisher tests. |

c | Linear trend in the data, and an intercept but no trend in the cointegrating equation. Applicable to Fisher tests. |

d | Linear trend in the data, and both an intercept and a trend in the cointegrating equation. Applicable to Fisher tests. |

e | Quadratic trend in the data, and both an intercept and a trend in the cointegrating equation. Applicable to Fisher tests. |

Additional options:

ac=arg (default= “bt”) | Method of estimating the frequency zero spectrum: “bt” (Bartlett kernel), “pr” (Parzen kernel), “qs” (Quadratic Spectral kernel). Applicable to Pedroni and Kao tests. |

band=arg (default= “nw”) | Method of selecting the bandwidth, where arg may be “nw” (Newey-West automatic variable bandwidth selection), or a number indicating a user-specified common bandwidth. Applicable to Pedroni and Kao tests. |

lag=arg | For Pedroni and Kao tests, the method of selecting lag length (number of first difference terms) to be included in the residual regression. For Fisher tests, a pair of numbers indicating lag. |

info=arg (default= “sic”) | Information criterion to use when computing automatic lag length selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn). Applicable to Pedroni and Kao tests. |

maxlag=int | Maximum lag length to consider when performing automatic lag length selection, where int is an integer. The default= where is the length of the cross-section. Applicable to Pedroni and Kao tests. |

disp=arg (default=500) | Maximum number of individual results to be displayed. |

prompt | Force the dialog to appear from within a program. |

p | Print results. |

Examples

pool01.coint(fisher,lag=1 2,c) y? x1? x2?

performs a Johansen test for pool series Y?, X1?, and X2? with a lag of 1 to 2 and linear trend in the data, and an intercept but no trend in the cointegrating equation is assumed as exogenous variables.

Cross-references