The COINT command implements tests for unit roots and cointegration including Dickey-Fuller unit root tests, Phillips-Perron unit root tests and tests on the residuals of a cointegrating regression.
In general, the format is:
COINT vars / options
The available options are:
||Uses a divisor of N, rather than N-K (where K is the number of regressors), when estimating the variance used in calculating the t-statistics. The F-tests are computed with the standard finite sample adjustments.
||Gives output of interest to SHAZAM consultants.
||Takes logs of the data.
||Gives more detailed output including the correlogram of the first differenced series, the estimated lag coefficients of the augmented Dickey-Fuller regressions, and the parameter estimates of the cointegrating regressions.
||Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
||Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
||Specifies the order of differencing to transform the data.
||Specifies the number of lag terms in the augmented Dickey-Fuller regressions or the truncation lag parameter for the Phillips tests. If this is not specified then the order is set as the highest significant lag order (using an approximate 95% confidence interval) from either the autocorrelation function or the partial autocorrelation function of the first differenced series.
||Specifies a matrix to save the residuals from the regression equations used for the unit root tests. The first column is the residuals from the constant, no trend regression and the second column is the residuals from the constant, trend regression for the first series. The third and fourth column are the residuals for the second series (if requested). For example, to inspect the ACF of the residuals the following SHAZAM commands could be used.
|| Specifies the significance level for the critical values. The available choices are 1, 5 and 10. The default is SIGLEVEL=10 for 10% critical values.
||Saves the test statistics in the variable specified.
||Specifies the type of tests to calculate. The available options are:
DF for augmented Dickey-Fuller unit root tests. This is the default.
PP for Phillips-Perron unit root tests.
RESD for Dickey-Fuller tests on the residuals of cointegrating regressions.
RESP for Phillips tests on the residuals of cointegrating regressions.