Thanks, Daniel.
Dear statlist,
I am a user of Stata 6 and want to run cointegration. I browse some websites
and give me a impression that command called "coint" is available in Stata 7.
However, when I check the stata 7 reference guide, I cannot see it. Can Stata
7 run it?
Cheers...Jennifer
Quoting Daniel Mackay <[email protected]>:
> Jennifer,
>
> there is no command for cointegration as such. One defines an OLS regression
> and then tests the residuals to ensure they are white noise- if they are
> you're regression is a co-integrating relationship.
>
> On the other hand Johansen's method of testing for co-integration is better
> but I am not aware that STATA 6 has the capability to test for co-integration
> using Johansen's method. In fact I'm pretty sure it has no Johansen
> 'command'.
>
> Use another package, EViews for example if you want to use Johansen's method
> otherwise you're stuck with OLS and testing residuals
>
>
> Danny
>
>
>
>
>
>
>
> -----Original Message-----
> From: "Jennifer Ng" <[email protected]>
> To: <[email protected]>
> Date: Thu, 5 Dec 2002 20:29:27 -0800
> Subject: st: cointegration
>
> Hi,
> I am a user of Stata 6. Is there any command for cointegration?
> Cheers...Jennifer
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
> Dr Daniel F Mackay,
> Department of General Practice,
> 4 Lancaster Crescent,
> GLASGOW,
> G12 0RR
>
> Tel: 0141 211 1666
> Fax: 0141 211 1667
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
