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Re: st: Testing Cointegration
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Testing Cointegration
Date
Thu, 7 Feb 2013 20:44:44 -0500
Daniel,
The Johansen trace test and Johansen maximum eigenvalue
test are available to test for the rank of the companion matrix
in a vector error correction model. The vector autoregression
post-estimation command is called vecrank.
Cheers,
Robert
On Thu, Feb 7, 2013 at 8:41 PM, Daniel - <[email protected]> wrote:
> Thank you Robert. I will looking that.
>
> Daniel Suarez
>
> ----------------------------------------
>> From: [email protected]
>> Date: Thu, 7 Feb 2013 20:39:35 -0500
>> Subject: Re: st: Testing Cointegration
>> To: [email protected]
>>
>> Daniel,
>> Have you looked into the trace test or the maximum eigenvalue test?
>> Robert
>>
>>
>> On Thu, Feb 7, 2013 at 6:11 PM, Daniel - <[email protected]> wrote:
>> >
>> > Hi @ll.
>> >
>> > Is there any routine for testing cointegration?
>> >
>> > Thanks.
>> >
>> > *
>> > * For searches and help try:
>> > * http://www.stata.com/help.cgi?search
>> > * http://www.stata.com/support/faqs/resources/statalist-faq/
>> > * http://www.ats.ucla.edu/stat/stata/
>>
>>
>>
>> --
>> Robert A. Yaffee, Ph.D.
>> Research Professor
>> Silver School of Social Work
>> New York University
>>
>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>>
>> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
--
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/