Object Reference : Object View and Procedure Reference : Var
  
 
coint
Johansen’s cointegration test.
Syntax
var_name.coint(test_option,n,option) [@ x1 x2 x3 ...]
The coint command tests for cointegration among the series in the var. By default, if the var object contains exogenous variables, the cointegration test will use those exogenous variables; however, if you explicitly list the exogenous variables with an “@”-sign, then only the listed variables will be used in the test.
The output for cointegration tests displays p-values for the rank test statistics. These p-values are computed using the response surface coefficients as estimated in MacKinnon, Haug, and Michelis (1999). The 0.05 critical values are also based on the response surface coefficients from MacKinnon-Haug-Michelis. Note: the reported critical values assume no exogenous variables other than an intercept and trend.
Options
You must specify the test option followed by the number of lags n. You must choose one of the following six test options:
 
a
No deterministic trend in the data, and no intercept or trend in the cointegrating equation.
b
No deterministic trend in the data, and an intercept but no trend in the cointegrating equation.
c
Linear trend in the data, and an intercept but no trend in the cointegrating equation.
d
Linear trend in the data, and both an intercept and a trend in the cointegrating equation.
e
Quadratic trend in the data, and both an intercept and a trend in the cointegrating equation.
s
Summarize the results of all 5 options (a-e).
Other Options:
 
restrict
Impose restrictions as specified by the append (coint) proc.
m=integer
Maximum number of iterations for restricted estimation (only valid if you choose the restrict option).
c scalar
Convergence criterion for restricted estimation. (only valid if you choose the restrict option).
save = mat_name
Stores test statistics as a named matrix object. The save= option stores a matrix, where is the number of endogenous variables in the VAR. The first column contains the eigenvalues, the second column contains the maximum eigenvalue statistics, the third column contains the trace statistics, and the fourth column contains the log likelihood values. The i-th row of columns 2 and 3 are the test statistics for rank . The last row is filled with NAs, except the last column which contains the log likelihood value of the unrestricted (full rank) model.
cvtype=ol
Display 0.05 and 0.01 critical values from Osterwald-Lenum (1992).
This option reproduces the output from version 4. The default is to display critical values based on the response surface coefficients from MacKinnon-Haug-Michelis (1999). Note that the argument on the right side of the equals sign are letters, not numbers 0-1).
cvsize=arg (default=0.05)
Specify the size of MacKinnon-Haug-Michelis (1999) critical values to be displayed. The size must be between 0.0001 and 0.9999; values outside this range will be reset to the default value of 0.05. This option is ignored if you set “cvtype=ol”.
prompt
Force the dialog to appear from within a program.
p
Print output of the test.
Examples
var1.coint(c,12) @
carries out the Johansen test for the series in the var object named VAR1. The “@”-sign without a list of exogenous variables ensures that the test does not include any exogenous variables in VAR1.
Cross-references
See “Johansen Cointegration Test” for details on the Johansen test.
See also Var::ec.