st: Engle-Granger-Yoo 3-step procedure (3 step estimator)

[InnaHaller@web.de]

Dear evereone,

I have a question to the Engle-Granger-Yoo 3-step procedure. 
My question is:

How can I do the step 2 with STATA?

I would be very grateful for the help.

Thanks!

Inna

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