{smcl}
{com}{sf}{ul off}{txt}{.-}
      name:  {res}<unnamed>
       {txt}log:  {res}f:\statadat\cs_egranger.smcl
  {txt}log type:  {res}smcl
 {txt}opened on:  {res}16 Aug 2012, 22:38:27
{txt}
{com}. which egranger
{txt}c:\ado\personal\egranger.ado
{res}*! egranger version 1.0.3  16Aug2012
*! author Mark Schaffer
{txt}
{com}. version
{txt}version 11.2

{com}. 
. * average per-capita disposable personal income dataset
. use http://www.stata-press.com/data/r9/rdinc, clear
{txt}
{com}. 
. * T is zero in the first period (lost in 2nd step and test regressions)
. gen t=_n-1
{txt}
{com}. gen tsq=t^2
{txt}
{com}. 
. * Cointegration test
. 
. egranger ln_ne ln_se, regress

{txt}Engle-Granger test for cointegration{col 55}N (1st step)  ={res}       55
{col 55}{txt}N (test)      ={res}       54
{txt}{hline 78}
{col 19}Test{col 32}1% Critical{col 50}5% Critical{col 67}10% Critical
{col 16}Statistic{col 36}Value{col 54}Value{col 72}Value
{hline 78}
 Z(t){col 15}{res}    -0.469{col 33}    -3.558{col 51}    -2.917{col 69}    -2.596

{txt}Critical values from MacKinnon (1990, 2010)
{hline 78}
{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}Engle-Granger test regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}  D._egresid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0184894{col 26}{space 2} .0394634{col 37}{space 1}   -0.47{col 46}{space 3}0.641{col 54}{space 4}-.0976428{col 67}{space 3} .0606641
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. scalar Zt=e(Zt)
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  1,    53) ={res}25842.40
    {txt}   Model {char |} {res} 59.2458578     1  59.2458578           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .121506903    53  .002292583           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04788

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.resid L.resid, nocons

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      54
{txt}{hline 13}{char +}{hline 30}           F(  1,    53) ={res}    0.22
    {txt}   Model {char |} {res} .000039678     1  .000039678           {txt}Prob > F      = {res} 0.6413
    {txt}Residual {char |} {res} .009580086    53  .000180756           {txt}R-squared     = {res} 0.0041
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res}-0.0147
    {txt}   Total {char |} {res} .009619764    54  .000178144           {txt}Root MSE      = {res} .01344

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.resid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0184894{col 26}{space 2} .0394634{col 37}{space 1}   -0.47{col 46}{space 3}0.641{col 54}{space 4}-.0976428{col 67}{space 3} .0606641
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. qui test L.resid
{txt}
{com}. assert reldif(abs(Zt),sqrt(r(F))) < 1e-8
{txt}
{com}. 
. egranger ln_ne ln_se, lags(2) regress
{res}Replacing variable _egresid...

{txt}Augmented Engle-Granger test for cointegration{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 2{col 55}{txt}N (test)      ={res}       52
{txt}{hline 78}
{col 19}Test{col 32}1% Critical{col 50}5% Critical{col 67}10% Critical
{col 16}Statistic{col 36}Value{col 54}Value{col 72}Value
{hline 78}
 Z(t){col 15}{res}    -1.336{col 33}    -3.558{col 51}    -2.917{col 69}    -2.596

{txt}Critical values from MacKinnon (1990, 2010)
{hline 78}
{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}Engle-Granger test regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}  D._egresid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.050771{col 26}{space 2} .0379952{col 37}{space 1}   -1.34{col 46}{space 3}0.188{col 54}{space 4}-.1271252{col 67}{space 3} .0255831
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}  .358361{col 26}{space 2} .1367238{col 37}{space 1}    2.62{col 46}{space 3}0.012{col 54}{space 4} .0836042{col 67}{space 3} .6331178
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0658113{col 26}{space 2} .1399569{col 37}{space 1}    0.47{col 46}{space 3}0.640{col 54}{space 4}-.2154426{col 67}{space 3} .3470653
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. scalar Zt=e(Zt)
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  1,    53) ={res}25842.40
    {txt}   Model {char |} {res} 59.2458578     1  59.2458578           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .121506903    53  .002292583           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04788

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.resid L.resid L(1/2)D.resid, nocons

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      52
{txt}{hline 13}{char +}{hline 30}           F(  3,    49) ={res}    3.12
    {txt}   Model {char |} {res} .001407853     3  .000469284           {txt}Prob > F      = {res} 0.0345
    {txt}Residual {char |} {res} .007381708    49  .000150647           {txt}R-squared     = {res} 0.1602
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.1088
    {txt}   Total {char |} {res} .008789561    52   .00016903           {txt}Root MSE      = {res} .01227

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.resid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.050771{col 26}{space 2} .0379952{col 37}{space 1}   -1.34{col 46}{space 3}0.188{col 54}{space 4}-.1271252{col 67}{space 3} .0255831
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}  .358361{col 26}{space 2} .1367238{col 37}{space 1}    2.62{col 46}{space 3}0.012{col 54}{space 4} .0836042{col 67}{space 3} .6331178
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0658113{col 26}{space 2} .1399569{col 37}{space 1}    0.47{col 46}{space 3}0.640{col 54}{space 4}-.2154426{col 67}{space 3} .3470653
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. qui test L.resid
{txt}
{com}. assert reldif(abs(Zt),sqrt(r(F))) < 1e-8
{txt}
{com}. 
. egranger ln_ne ln_se ln_me, lags(2) regress
{res}Replacing variable _egresid...

{txt}Augmented Engle-Granger test for cointegration{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 2{col 55}{txt}N (test)      ={res}       52
{txt}{hline 78}
{col 19}Test{col 32}1% Critical{col 50}5% Critical{col 67}10% Critical
{col 16}Statistic{col 36}Value{col 54}Value{col 72}Value
{hline 78}
 Z(t){col 15}{res}    -3.294{col 33}    -4.107{col 51}    -3.452{col 69}    -3.124

{txt}Critical values from MacKinnon (1990, 2010)
{hline 78}
{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.2213408{col 26}{space 2}  .052206{col 37}{space 1}   -4.24{col 46}{space 3}0.000{col 54}{space 4}-.3260998{col 67}{space 3}-.1165818
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.271222{col 26}{space 2} .0567175{col 37}{space 1}   22.41{col 46}{space 3}0.000{col 54}{space 4}  1.15741{col 67}{space 3} 1.385034
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.5177237{col 26}{space 2} .0572861{col 37}{space 1}   -9.04{col 46}{space 3}0.000{col 54}{space 4}-.6326767{col 67}{space 3}-.4027706
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}Engle-Granger test regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}  D._egresid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3233623{col 26}{space 2} .0981799{col 37}{space 1}   -3.29{col 46}{space 3}0.002{col 54}{space 4}-.5206623{col 67}{space 3}-.1260624
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}    .3137{col 26}{space 2} .1233709{col 37}{space 1}    2.54{col 46}{space 3}0.014{col 54}{space 4} .0657768{col 67}{space 3} .5616231
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.1488599{col 26}{space 2} .1303368{col 37}{space 1}   -1.14{col 46}{space 3}0.259{col 54}{space 4}-.4107814{col 67}{space 3} .1130616
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. scalar Zt=e(Zt)
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se ln_me

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  2,    52) ={res}       .
    {txt}   Model {char |} {res}  59.355967     2  29.6779835           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .011397736    52  .000219187           {txt}R-squared     = {res} 0.9998
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9998
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res}  .0148

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.2213408{col 26}{space 2}  .052206{col 37}{space 1}   -4.24{col 46}{space 3}0.000{col 54}{space 4}-.3260998{col 67}{space 3}-.1165818
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.271222{col 26}{space 2} .0567175{col 37}{space 1}   22.41{col 46}{space 3}0.000{col 54}{space 4}  1.15741{col 67}{space 3} 1.385034
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.5177237{col 26}{space 2} .0572861{col 37}{space 1}   -9.04{col 46}{space 3}0.000{col 54}{space 4}-.6326767{col 67}{space 3}-.4027706
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.resid L.resid L(1/2)D.resid, nocons

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      52
{txt}{hline 13}{char +}{hline 30}           F(  3,    49) ={res}    6.87
    {txt}   Model {char |} {res} .001424504     3  .000474835           {txt}Prob > F      = {res} 0.0006
    {txt}Residual {char |} {res} .003387013    49  .000069123           {txt}R-squared     = {res} 0.2961
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.2530
    {txt}   Total {char |} {res} .004811517    52  .000092529           {txt}Root MSE      = {res} .00831

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.resid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3233623{col 26}{space 2} .0981799{col 37}{space 1}   -3.29{col 46}{space 3}0.002{col 54}{space 4}-.5206623{col 67}{space 3}-.1260624
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}    .3137{col 26}{space 2} .1233709{col 37}{space 1}    2.54{col 46}{space 3}0.014{col 54}{space 4} .0657768{col 67}{space 3} .5616231
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.1488599{col 26}{space 2} .1303368{col 37}{space 1}   -1.14{col 46}{space 3}0.259{col 54}{space 4}-.4107814{col 67}{space 3} .1130616
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. qui test L.resid
{txt}
{com}. assert reldif(abs(Zt),sqrt(r(F))) < 1e-8
{txt}
{com}. 
. egranger ln_ne ln_se, lags(3) regress trend
{res}Replacing variable _egresid...

{txt}Augmented Engle-Granger test for cointegration{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 3{col 55}{txt}N (test)      ={res}       51
{txt}1st step includes linear trend
{hline 78}
{col 19}Test{col 32}1% Critical{col 50}5% Critical{col 67}10% Critical
{col 16}Statistic{col 36}Value{col 54}Value{col 72}Value
{hline 78}
 Z(t){col 15}{res}    -1.559{col 33}    -4.137{col 51}    -3.495{col 69}    -3.176

{txt}Critical values from MacKinnon (1990, 2010)
{hline 78}
{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9179047{col 26}{space 2} .0491845{col 37}{space 1}   18.66{col 46}{space 3}0.000{col 54}{space 4} .8192089{col 67}{space 3} 1.016601
{txt}{space 6}_trend {c |}{col 14}{res}{space 2} .0020942{col 26}{space 2} .0033919{col 37}{space 1}    0.62{col 46}{space 3}0.540{col 54}{space 4}-.0047122{col 67}{space 3} .0089005
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .9166857{col 26}{space 2} .3259759{col 37}{space 1}    2.81{col 46}{space 3}0.007{col 54}{space 4} .2625672{col 67}{space 3} 1.570804
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}Engle-Granger test regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}  D._egresid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.058504{col 26}{space 2} .0375381{col 37}{space 1}   -1.56{col 46}{space 3}0.126{col 54}{space 4} -.134021{col 67}{space 3} .0170129
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .4161955{col 26}{space 2} .1367298{col 37}{space 1}    3.04{col 46}{space 3}0.004{col 54}{space 4} .1411307{col 67}{space 3} .6912603
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0098615{col 26}{space 2} .1413458{col 37}{space 1}    0.07{col 46}{space 3}0.945{col 54}{space 4}-.2744895{col 67}{space 3} .2942126
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1797595{col 26}{space 2} .1374333{col 37}{space 1}    1.31{col 46}{space 3}0.197{col 54}{space 4}-.0967206{col 67}{space 3} .4562395
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. scalar Zt=e(Zt)
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se t

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  2,    52) ={res}12770.53
    {txt}   Model {char |} {res}  59.246742     2   29.623371           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .120622693    52  .002319667           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04816

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9179047{col 26}{space 2} .0491845{col 37}{space 1}   18.66{col 46}{space 3}0.000{col 54}{space 4} .8192089{col 67}{space 3} 1.016601
{txt}{space 11}t {c |}{col 14}{res}{space 2} .0020942{col 26}{space 2} .0033919{col 37}{space 1}    0.62{col 46}{space 3}0.540{col 54}{space 4}-.0047122{col 67}{space 3} .0089005
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .9166857{col 26}{space 2} .3259759{col 37}{space 1}    2.81{col 46}{space 3}0.007{col 54}{space 4} .2625672{col 67}{space 3} 1.570804
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.resid L.resid L(1/3)D.resid, nocons

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      51
{txt}{hline 13}{char +}{hline 30}           F(  4,    47) ={res}    3.50
    {txt}   Model {char |} {res} .001952309     4  .000488077           {txt}Prob > F      = {res} 0.0139
    {txt}Residual {char |} {res} .006550765    47  .000139378           {txt}R-squared     = {res} 0.2296
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.1640
    {txt}   Total {char |} {res} .008503074    51  .000166727           {txt}Root MSE      = {res} .01181

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.resid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.058504{col 26}{space 2} .0375381{col 37}{space 1}   -1.56{col 46}{space 3}0.126{col 54}{space 4} -.134021{col 67}{space 3} .0170129
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .4161955{col 26}{space 2} .1367298{col 37}{space 1}    3.04{col 46}{space 3}0.004{col 54}{space 4} .1411307{col 67}{space 3} .6912603
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0098615{col 26}{space 2} .1413458{col 37}{space 1}    0.07{col 46}{space 3}0.945{col 54}{space 4}-.2744895{col 67}{space 3} .2942126
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1797595{col 26}{space 2} .1374333{col 37}{space 1}    1.31{col 46}{space 3}0.197{col 54}{space 4}-.0967206{col 67}{space 3} .4562395
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. qui test L.resid
{txt}
{com}. assert reldif(abs(Zt),sqrt(r(F))) < 1e-8
{txt}
{com}. 
. egranger ln_ne ln_se ln_me, lags(4) regress qtrend
{res}Replacing variable _egresid...

{txt}Augmented Engle-Granger test for cointegration{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 4{col 55}{txt}N (test)      ={res}       50
{txt}1st step includes quadratic trend
{hline 78}
{col 19}Test{col 32}1% Critical{col 50}5% Critical{col 67}10% Critical
{col 16}Statistic{col 36}Value{col 54}Value{col 72}Value
{hline 78}
 Z(t){col 15}{res}    -3.655{col 33}    -5.089{col 51}    -4.410{col 69}    -4.073

{txt}Critical values from MacKinnon (1990, 2010)
{hline 78}
{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.4853195{col 26}{space 2} .0829014{col 37}{space 1}   -5.85{col 46}{space 3}0.000{col 54}{space 4}-.6518318{col 67}{space 3}-.3188071
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.532462{col 26}{space 2} .0900714{col 37}{space 1}   17.01{col 46}{space 3}0.000{col 54}{space 4} 1.351548{col 67}{space 3} 1.713375
{txt}{space 6}_trend {c |}{col 14}{res}{space 2} .0043097{col 26}{space 2} .0011442{col 37}{space 1}    3.77{col 46}{space 3}0.000{col 54}{space 4} .0020114{col 67}{space 3} .0066079
{txt}{space 4}_trend^2 {c |}{col 14}{res}{space 2}-.0000493{col 26}{space 2} .0000141{col 37}{space 1}   -3.50{col 46}{space 3}0.001{col 54}{space 4}-.0000776{col 67}{space 3} -.000021
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.6391797{col 26}{space 2} .1337661{col 37}{space 1}   -4.78{col 46}{space 3}0.000{col 54}{space 4}-.9078567{col 67}{space 3}-.3705026
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}Engle-Granger test regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}  D._egresid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.605947{col 26}{space 2} .1657767{col 37}{space 1}   -3.66{col 46}{space 3}0.001{col 54}{space 4}-.9398383{col 67}{space 3}-.2720556
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .3424608{col 26}{space 2} .1665914{col 37}{space 1}    2.06{col 46}{space 3}0.046{col 54}{space 4} .0069285{col 67}{space 3} .6779931
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0629834{col 26}{space 2} .1552987{col 37}{space 1}    0.41{col 46}{space 3}0.687{col 54}{space 4}-.2498043{col 67}{space 3} .3757711
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1640868{col 26}{space 2} .1299853{col 37}{space 1}    1.26{col 46}{space 3}0.213{col 54}{space 4}-.0977171{col 67}{space 3} .4258907
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .2312064{col 26}{space 2} .1299288{col 37}{space 1}    1.78{col 46}{space 3}0.082{col 54}{space 4}-.0304836{col 67}{space 3} .4928965
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. scalar Zt=e(Zt)
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se ln_me t tsq

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  4,    50) ={res}86783.30
    {txt}   Model {char |} {res} 59.3588148     4  14.8397037           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .008549861    50  .000170997           {txt}R-squared     = {res} 0.9999
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9998
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .01308

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.4853195{col 26}{space 2} .0829014{col 37}{space 1}   -5.85{col 46}{space 3}0.000{col 54}{space 4}-.6518318{col 67}{space 3}-.3188071
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.532462{col 26}{space 2} .0900714{col 37}{space 1}   17.01{col 46}{space 3}0.000{col 54}{space 4} 1.351548{col 67}{space 3} 1.713375
{txt}{space 11}t {c |}{col 14}{res}{space 2} .0043097{col 26}{space 2} .0011442{col 37}{space 1}    3.77{col 46}{space 3}0.000{col 54}{space 4} .0020114{col 67}{space 3} .0066079
{txt}{space 9}tsq {c |}{col 14}{res}{space 2}-.0000493{col 26}{space 2} .0000141{col 37}{space 1}   -3.50{col 46}{space 3}0.001{col 54}{space 4}-.0000776{col 67}{space 3} -.000021
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.6391797{col 26}{space 2} .1337661{col 37}{space 1}   -4.78{col 46}{space 3}0.000{col 54}{space 4}-.9078567{col 67}{space 3}-.3705026
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.resid L.resid L(1/4)D.resid, nocons

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      50
{txt}{hline 13}{char +}{hline 30}           F(  5,    45) ={res}    4.35
    {txt}   Model {char |} {res} .001723709     5  .000344742           {txt}Prob > F      = {res} 0.0026
    {txt}Residual {char |} {res} .003568661    45  .000079304           {txt}R-squared     = {res} 0.3257
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.2508
    {txt}   Total {char |} {res} .005292371    50  .000105847           {txt}Root MSE      = {res} .00891

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.resid{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.605947{col 26}{space 2} .1657767{col 37}{space 1}   -3.66{col 46}{space 3}0.001{col 54}{space 4}-.9398383{col 67}{space 3}-.2720556
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .3424608{col 26}{space 2} .1665914{col 37}{space 1}    2.06{col 46}{space 3}0.046{col 54}{space 4} .0069285{col 67}{space 3} .6779931
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0629834{col 26}{space 2} .1552987{col 37}{space 1}    0.41{col 46}{space 3}0.687{col 54}{space 4}-.2498043{col 67}{space 3} .3757711
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1640868{col 26}{space 2} .1299853{col 37}{space 1}    1.26{col 46}{space 3}0.213{col 54}{space 4}-.0977171{col 67}{space 3} .4258907
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .2312064{col 26}{space 2} .1299288{col 37}{space 1}    1.78{col 46}{space 3}0.082{col 54}{space 4}-.0304836{col 67}{space 3} .4928965
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. qui test L.resid
{txt}
{com}. assert reldif(abs(Zt),sqrt(r(F))) < 1e-8
{txt}
{com}. 
. * 2-step ECM
. 
. egranger ln_ne ln_se, regress ecm
{res}Replacing variable _egresid...

{txt}Engle-Granger 2-step ECM estimation{col 55}N (1st step)  ={res}       55
{col 55}{txt}N (2nd step)  ={res}       53

Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{res}Engle-Granger 2-step ECM
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3960699{col 26}{space 2} .0801533{col 37}{space 1}   -4.94{col 46}{space 3}0.000{col 54}{space 4}-.5570624{col 67}{space 3}-.2350773
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.0118925{col 26}{space 2} .1296342{col 37}{space 1}   -0.09{col 46}{space 3}0.927{col 54}{space 4}-.2722706{col 67}{space 3} .2484855
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .060085{col 26}{space 2} .0082891{col 37}{space 1}    7.25{col 46}{space 3}0.000{col 54}{space 4} .0434358{col 67}{space 3} .0767341
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. savedresults save eg e()
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  1,    53) ={res}25842.40
    {txt}   Model {char |} {res} 59.2458578     1  59.2458578           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .121506903    53  .002292583           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04788

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.ln_ne L.resid LD.ln_se

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      53
{txt}{hline 13}{char +}{hline 30}           F(  2,    50) ={res}   22.10
    {txt}   Model {char |} {res} .017716673     2  .008858336           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .020040417    50  .000400808           {txt}R-squared     = {res} 0.4692
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.4480
    {txt}   Total {char |} {res}  .03775709    52  .000726098           {txt}Root MSE      = {res} .02002

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3960699{col 26}{space 2} .0801533{col 37}{space 1}   -4.94{col 46}{space 3}0.000{col 54}{space 4}-.5570624{col 67}{space 3}-.2350773
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.0118925{col 26}{space 2} .1296342{col 37}{space 1}   -0.09{col 46}{space 3}0.927{col 54}{space 4}-.2722706{col 67}{space 3} .2484855
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .060085{col 26}{space 2} .0082891{col 37}{space 1}    7.25{col 46}{space 3}0.000{col 54}{space 4} .0434358{col 67}{space 3} .0767341
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. savedresults comp eg e(), include(macros: depvar scalar: ll matrix: b V) tol(1e-7) verbose
{txt}comparing macro  e(depvar)
comparing scalar e(ll)
comparing matrix e(b)
comparing matrix e(V)

{com}. 
. egranger ln_ne ln_se, lags(2) regress ecm
{res}Replacing variable _egresid...

{txt}Engle-Granger 2-step ECM estimation{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 2{col 55}{txt}N (2nd step)  ={res}       52

Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{res}Engle-Granger 2-step ECM
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.465695{col 26}{space 2} .0881672{col 37}{space 1}   -5.28{col 46}{space 3}0.000{col 54}{space 4}-.6431663{col 67}{space 3}-.2882237
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .5168296{col 26}{space 2} .1846592{col 37}{space 1}    2.80{col 46}{space 3}0.007{col 54}{space 4}   .14513{col 67}{space 3} .8885292
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .3684522{col 26}{space 2} .2002311{col 37}{space 1}    1.84{col 46}{space 3}0.072{col 54}{space 4}-.0345921{col 67}{space 3} .7714965
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.3773024{col 26}{space 2} .2080446{col 37}{space 1}   -1.81{col 46}{space 3}0.076{col 54}{space 4}-.7960744{col 67}{space 3} .0414696
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.4641549{col 26}{space 2} .2242527{col 37}{space 1}   -2.07{col 46}{space 3}0.044{col 54}{space 4}-.9155521{col 67}{space 3}-.0127577
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0575856{col 26}{space 2} .0102661{col 37}{space 1}    5.61{col 46}{space 3}0.000{col 54}{space 4}  .036921{col 67}{space 3} .0782501
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. savedresults save eg e()
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  1,    53) ={res}25842.40
    {txt}   Model {char |} {res} 59.2458578     1  59.2458578           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .121506903    53  .002292583           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04788

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9480494{col 26}{space 2} .0058975{col 37}{space 1}  160.76{col 46}{space 3}0.000{col 54}{space 4} .9362206{col 67}{space 3} .9598782
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .7178752{col 26}{space 2} .0503722{col 37}{space 1}   14.25{col 46}{space 3}0.000{col 54}{space 4} .6168413{col 67}{space 3} .8189091
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.ln_ne L.resid L(1/2)D.(ln_ne ln_se)

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      52
{txt}{hline 13}{char +}{hline 30}           F(  5,    46) ={res}   17.62
    {txt}   Model {char |} {res} .023882781     5  .004776556           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res}  .01247218    46  .000271134           {txt}R-squared     = {res} 0.6569
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.6196
    {txt}   Total {char |} {res} .036354961    51  .000712842           {txt}Root MSE      = {res} .01647

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.465695{col 26}{space 2} .0881672{col 37}{space 1}   -5.28{col 46}{space 3}0.000{col 54}{space 4}-.6431663{col 67}{space 3}-.2882237
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .5168296{col 26}{space 2} .1846592{col 37}{space 1}    2.80{col 46}{space 3}0.007{col 54}{space 4}   .14513{col 67}{space 3} .8885292
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .3684522{col 26}{space 2} .2002311{col 37}{space 1}    1.84{col 46}{space 3}0.072{col 54}{space 4}-.0345921{col 67}{space 3} .7714965
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.3773024{col 26}{space 2} .2080446{col 37}{space 1}   -1.81{col 46}{space 3}0.076{col 54}{space 4}-.7960744{col 67}{space 3} .0414696
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.4641549{col 26}{space 2} .2242527{col 37}{space 1}   -2.07{col 46}{space 3}0.044{col 54}{space 4}-.9155521{col 67}{space 3}-.0127577
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0575856{col 26}{space 2} .0102661{col 37}{space 1}    5.61{col 46}{space 3}0.000{col 54}{space 4}  .036921{col 67}{space 3} .0782501
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. savedresults comp eg e(), include(macros: depvar scalar: ll matrix: b V) tol(1e-7) verbose
{txt}comparing macro  e(depvar)
comparing scalar e(ll)
comparing matrix e(b)
comparing matrix e(V)

{com}. 
. egranger ln_ne ln_se ln_me, lags(2) regress ecm
{res}Replacing variable _egresid...

{txt}Engle-Granger 2-step ECM estimation{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 2{col 55}{txt}N (2nd step)  ={res}       52

Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.2213408{col 26}{space 2}  .052206{col 37}{space 1}   -4.24{col 46}{space 3}0.000{col 54}{space 4}-.3260998{col 67}{space 3}-.1165818
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.271222{col 26}{space 2} .0567175{col 37}{space 1}   22.41{col 46}{space 3}0.000{col 54}{space 4}  1.15741{col 67}{space 3} 1.385034
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.5177237{col 26}{space 2} .0572861{col 37}{space 1}   -9.04{col 46}{space 3}0.000{col 54}{space 4}-.6326767{col 67}{space 3}-.4027706
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{res}Engle-Granger 2-step ECM
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .0185838{col 26}{space 2} .2311312{col 37}{space 1}    0.08{col 46}{space 3}0.936{col 54}{space 4}-.4472305{col 67}{space 3} .4843981
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} 1.172207{col 26}{space 2} .3532043{col 37}{space 1}    3.32{col 46}{space 3}0.002{col 54}{space 4} .4603705{col 67}{space 3} 1.884044
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.9525821{col 26}{space 2} .3785131{col 37}{space 1}   -2.52{col 46}{space 3}0.016{col 54}{space 4}-1.715425{col 67}{space 3}-.1897391
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .0463373{col 26}{space 2} .2304711{col 37}{space 1}    0.20{col 46}{space 3}0.842{col 54}{space 4}-.4181468{col 67}{space 3} .5108214
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .1298701{col 26}{space 2}   .23288{col 37}{space 1}    0.56{col 46}{space 3}0.580{col 54}{space 4}-.3394688{col 67}{space 3} .5992089
{txt}{space 12} {c |}
{space 7}ln_me {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.7416296{col 26}{space 2} .3857938{col 37}{space 1}   -1.92{col 46}{space 3}0.061{col 54}{space 4}-1.519146{col 67}{space 3} .0358868
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} 1.152581{col 26}{space 2} .3907056{col 37}{space 1}    2.95{col 46}{space 3}0.005{col 54}{space 4} .3651654{col 67}{space 3} 1.939996
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .011312{col 26}{space 2} .0074394{col 37}{space 1}    1.52{col 46}{space 3}0.136{col 54}{space 4}-.0036811{col 67}{space 3} .0263051
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. savedresults save eg e()
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se ln_me

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  2,    52) ={res}       .
    {txt}   Model {char |} {res}  59.355967     2  29.6779835           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .011397736    52  .000219187           {txt}R-squared     = {res} 0.9998
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9998
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res}  .0148

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.2213408{col 26}{space 2}  .052206{col 37}{space 1}   -4.24{col 46}{space 3}0.000{col 54}{space 4}-.3260998{col 67}{space 3}-.1165818
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.271222{col 26}{space 2} .0567175{col 37}{space 1}   22.41{col 46}{space 3}0.000{col 54}{space 4}  1.15741{col 67}{space 3} 1.385034
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.5177237{col 26}{space 2} .0572861{col 37}{space 1}   -9.04{col 46}{space 3}0.000{col 54}{space 4}-.6326767{col 67}{space 3}-.4027706
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.ln_ne L.resid L(1/2)D.(ln_ne ln_se ln_me)

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      52
{txt}{hline 13}{char +}{hline 30}           F(  7,    44) ={res}    8.42
    {txt}   Model {char |} {res} .020812887     7   .00297327           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .015542074    44  .000353229           {txt}R-squared     = {res} 0.5725
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.5045
    {txt}   Total {char |} {res} .036354961    51  .000712842           {txt}Root MSE      = {res} .01879

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .0185838{col 26}{space 2} .2311312{col 37}{space 1}    0.08{col 46}{space 3}0.936{col 54}{space 4}-.4472305{col 67}{space 3} .4843981
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} 1.172207{col 26}{space 2} .3532043{col 37}{space 1}    3.32{col 46}{space 3}0.002{col 54}{space 4} .4603705{col 67}{space 3} 1.884044
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.9525821{col 26}{space 2} .3785131{col 37}{space 1}   -2.52{col 46}{space 3}0.016{col 54}{space 4}-1.715425{col 67}{space 3}-.1897391
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .0463373{col 26}{space 2} .2304711{col 37}{space 1}    0.20{col 46}{space 3}0.842{col 54}{space 4}-.4181468{col 67}{space 3} .5108214
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .1298701{col 26}{space 2}   .23288{col 37}{space 1}    0.56{col 46}{space 3}0.580{col 54}{space 4}-.3394688{col 67}{space 3} .5992089
{txt}{space 12} {c |}
{space 7}ln_me {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.7416296{col 26}{space 2} .3857938{col 37}{space 1}   -1.92{col 46}{space 3}0.061{col 54}{space 4}-1.519146{col 67}{space 3} .0358868
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} 1.152581{col 26}{space 2} .3907056{col 37}{space 1}    2.95{col 46}{space 3}0.005{col 54}{space 4} .3651654{col 67}{space 3} 1.939996
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .011312{col 26}{space 2} .0074394{col 37}{space 1}    1.52{col 46}{space 3}0.136{col 54}{space 4}-.0036811{col 67}{space 3} .0263051
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. savedresults comp eg e(), include(macros: depvar scalar: ll matrix: b V) tol(1e-7) verbose
{txt}comparing macro  e(depvar)
comparing scalar e(ll)
comparing matrix e(b)
comparing matrix e(V)

{com}. 
. egranger ln_ne ln_se, lags(3) regress trend ecm
{res}Replacing variable _egresid...

{txt}Engle-Granger 2-step ECM estimation{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 3{col 55}{txt}N (2nd step)  ={res}       51
{txt}1st step includes linear trend

{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9179047{col 26}{space 2} .0491845{col 37}{space 1}   18.66{col 46}{space 3}0.000{col 54}{space 4} .8192089{col 67}{space 3} 1.016601
{txt}{space 6}_trend {c |}{col 14}{res}{space 2} .0020942{col 26}{space 2} .0033919{col 37}{space 1}    0.62{col 46}{space 3}0.540{col 54}{space 4}-.0047122{col 67}{space 3} .0089005
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .9166857{col 26}{space 2} .3259759{col 37}{space 1}    2.81{col 46}{space 3}0.007{col 54}{space 4} .2625672{col 67}{space 3} 1.570804
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{res}Engle-Granger 2-step ECM
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.480883{col 26}{space 2} .1111211{col 37}{space 1}   -4.33{col 46}{space 3}0.000{col 54}{space 4}-.7049801{col 67}{space 3}-.2567859
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .4518776{col 26}{space 2} .1957369{col 37}{space 1}    2.31{col 46}{space 3}0.026{col 54}{space 4} .0571364{col 67}{space 3} .8466187
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .4163629{col 26}{space 2} .2058533{col 37}{space 1}    2.02{col 46}{space 3}0.049{col 54}{space 4} .0012202{col 67}{space 3} .8315057
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1226279{col 26}{space 2} .2132233{col 37}{space 1}    0.58{col 46}{space 3}0.568{col 54}{space 4}-.3073779{col 67}{space 3} .5526336
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.4002946{col 26}{space 2} .2176546{col 37}{space 1}   -1.84{col 46}{space 3}0.073{col 54}{space 4} -.839237{col 67}{space 3} .0386478
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.4379454{col 26}{space 2} .2292312{col 37}{space 1}   -1.91{col 46}{space 3}0.063{col 54}{space 4}-.9002341{col 67}{space 3} .0243434
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.0764107{col 26}{space 2} .2367552{col 37}{space 1}   -0.32{col 46}{space 3}0.748{col 54}{space 4} -.553873{col 67}{space 3} .4010516
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0553389{col 26}{space 2} .0128391{col 37}{space 1}    4.31{col 46}{space 3}0.000{col 54}{space 4} .0294465{col 67}{space 3} .0812314
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. savedresults save eg e()
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se t

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  2,    52) ={res}12770.53
    {txt}   Model {char |} {res}  59.246742     2   29.623371           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .120622693    52  .002319667           {txt}R-squared     = {res} 0.9980
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9979
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .04816

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2} .9179047{col 26}{space 2} .0491845{col 37}{space 1}   18.66{col 46}{space 3}0.000{col 54}{space 4} .8192089{col 67}{space 3} 1.016601
{txt}{space 11}t {c |}{col 14}{res}{space 2} .0020942{col 26}{space 2} .0033919{col 37}{space 1}    0.62{col 46}{space 3}0.540{col 54}{space 4}-.0047122{col 67}{space 3} .0089005
{txt}{space 7}_cons {c |}{col 14}{res}{space 2} .9166857{col 26}{space 2} .3259759{col 37}{space 1}    2.81{col 46}{space 3}0.007{col 54}{space 4} .2625672{col 67}{space 3} 1.570804
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.ln_ne L.resid L(1/3)D.(ln_ne ln_se)

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      51
{txt}{hline 13}{char +}{hline 30}           F(  7,    43) ={res}   12.95
    {txt}   Model {char |} {res} .024334864     7  .003476409           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res}  .01153966    43  .000268364           {txt}R-squared     = {res} 0.6783
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.6260
    {txt}   Total {char |} {res} .035874524    50   .00071749           {txt}Root MSE      = {res} .01638

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.480883{col 26}{space 2} .1111211{col 37}{space 1}   -4.33{col 46}{space 3}0.000{col 54}{space 4}-.7049801{col 67}{space 3}-.2567859
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .4518776{col 26}{space 2} .1957369{col 37}{space 1}    2.31{col 46}{space 3}0.026{col 54}{space 4} .0571364{col 67}{space 3} .8466187
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .4163629{col 26}{space 2} .2058533{col 37}{space 1}    2.02{col 46}{space 3}0.049{col 54}{space 4} .0012202{col 67}{space 3} .8315057
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .1226279{col 26}{space 2} .2132233{col 37}{space 1}    0.58{col 46}{space 3}0.568{col 54}{space 4}-.3073779{col 67}{space 3} .5526336
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-.4002946{col 26}{space 2} .2176546{col 37}{space 1}   -1.84{col 46}{space 3}0.073{col 54}{space 4} -.839237{col 67}{space 3} .0386478
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.4379454{col 26}{space 2} .2292312{col 37}{space 1}   -1.91{col 46}{space 3}0.063{col 54}{space 4}-.9002341{col 67}{space 3} .0243434
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.0764107{col 26}{space 2} .2367552{col 37}{space 1}   -0.32{col 46}{space 3}0.748{col 54}{space 4} -.553873{col 67}{space 3} .4010516
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0553389{col 26}{space 2} .0128391{col 37}{space 1}    4.31{col 46}{space 3}0.000{col 54}{space 4} .0294465{col 67}{space 3} .0812314
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. savedresults comp eg e(), include(macros: depvar scalar: ll matrix: b V) tol(1e-7) verbose
{txt}comparing macro  e(depvar)
comparing scalar e(ll)
comparing matrix e(b)
comparing matrix e(V)

{com}. 
. egranger ln_ne ln_se ln_me, lags(4) regress qtrend ecm
{res}Replacing variable _egresid...

{txt}Engle-Granger 2-step ECM estimation{col 55}N (1st step)  ={res}       55
{txt}Number of lags   = {res} 4{col 55}{txt}N (2nd step)  ={res}       50
{txt}1st step includes quadratic trend

{res}Engle-Granger 1st-step regression
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.4853195{col 26}{space 2} .0829014{col 37}{space 1}   -5.85{col 46}{space 3}0.000{col 54}{space 4}-.6518318{col 67}{space 3}-.3188071
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.532462{col 26}{space 2} .0900714{col 37}{space 1}   17.01{col 46}{space 3}0.000{col 54}{space 4} 1.351548{col 67}{space 3} 1.713375
{txt}{space 6}_trend {c |}{col 14}{res}{space 2} .0043097{col 26}{space 2} .0011442{col 37}{space 1}    3.77{col 46}{space 3}0.000{col 54}{space 4} .0020114{col 67}{space 3} .0066079
{txt}{space 4}_trend^2 {c |}{col 14}{res}{space 2}-.0000493{col 26}{space 2} .0000141{col 37}{space 1}   -3.50{col 46}{space 3}0.001{col 54}{space 4}-.0000776{col 67}{space 3} -.000021
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.6391797{col 26}{space 2} .1337661{col 37}{space 1}   -4.78{col 46}{space 3}0.000{col 54}{space 4}-.9078567{col 67}{space 3}-.3705026
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{res}Engle-Granger 2-step ECM
{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 4}_egresid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3499235{col 26}{space 2} .4336711{col 37}{space 1}   -0.81{col 46}{space 3}0.425{col 54}{space 4}-1.229449{col 67}{space 3} .5296022
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} 1.557219{col 26}{space 2} .4505869{col 37}{space 1}    3.46{col 46}{space 3}0.001{col 54}{space 4} .6433868{col 67}{space 3} 2.471052
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0145884{col 26}{space 2} .4795908{col 37}{space 1}    0.03{col 46}{space 3}0.976{col 54}{space 4}-.9580669{col 67}{space 3} .9872437
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.1269116{col 26}{space 2} .4169611{col 37}{space 1}   -0.30{col 46}{space 3}0.763{col 54}{space 4}-.9725478{col 67}{space 3} .7187247
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .7074878{col 26}{space 2} .4284787{col 37}{space 1}    1.65{col 46}{space 3}0.107{col 54}{space 4}-.1615073{col 67}{space 3} 1.576483
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .6462859{col 26}{space 2} .2982597{col 37}{space 1}    2.17{col 46}{space 3}0.037{col 54}{space 4} .0413872{col 67}{space 3} 1.251185
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .1420399{col 26}{space 2} .2307202{col 37}{space 1}    0.62{col 46}{space 3}0.542{col 54}{space 4}-.3258823{col 67}{space 3}  .609962
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .3932306{col 26}{space 2} .2305856{col 37}{space 1}    1.71{col 46}{space 3}0.097{col 54}{space 4}-.0744186{col 67}{space 3} .8608798
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .0388579{col 26}{space 2} .2443514{col 37}{space 1}    0.16{col 46}{space 3}0.875{col 54}{space 4}-.4567097{col 67}{space 3} .5344254
{txt}{space 12} {c |}
{space 7}ln_me {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-1.903652{col 26}{space 2} .5942154{col 37}{space 1}   -3.20{col 46}{space 3}0.003{col 54}{space 4}-3.108777{col 67}{space 3}-.6985275
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .2178245{col 26}{space 2} .5062558{col 37}{space 1}    0.43{col 46}{space 3}0.670{col 54}{space 4}-.8089099{col 67}{space 3} 1.244559
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.2640008{col 26}{space 2} .4292576{col 37}{space 1}   -0.62{col 46}{space 3}0.542{col 54}{space 4}-1.134576{col 67}{space 3} .6065739
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2}-.6087006{col 26}{space 2} .4256548{col 37}{space 1}   -1.43{col 46}{space 3}0.161{col 54}{space 4}-1.471968{col 67}{space 3} .2545672
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0025171{col 26}{space 2} .0070279{col 37}{space 1}    0.36{col 46}{space 3}0.722{col 54}{space 4}-.0117361{col 67}{space 3} .0167703
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. savedresults save eg e()
{txt}
{com}. capture drop resid
{txt}
{com}. regress ln_ne ln_se ln_me t tsq

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      55
{txt}{hline 13}{char +}{hline 30}           F(  4,    50) ={res}86783.30
    {txt}   Model {char |} {res} 59.3588148     4  14.8397037           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .008549861    50  .000170997           {txt}R-squared     = {res} 0.9999
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.9998
    {txt}   Total {char |} {res} 59.3673647    54  1.09939564           {txt}Root MSE      = {res} .01308

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}       ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}ln_se {c |}{col 14}{res}{space 2}-.4853195{col 26}{space 2} .0829014{col 37}{space 1}   -5.85{col 46}{space 3}0.000{col 54}{space 4}-.6518318{col 67}{space 3}-.3188071
{txt}{space 7}ln_me {c |}{col 14}{res}{space 2} 1.532462{col 26}{space 2} .0900714{col 37}{space 1}   17.01{col 46}{space 3}0.000{col 54}{space 4} 1.351548{col 67}{space 3} 1.713375
{txt}{space 11}t {c |}{col 14}{res}{space 2} .0043097{col 26}{space 2} .0011442{col 37}{space 1}    3.77{col 46}{space 3}0.000{col 54}{space 4} .0020114{col 67}{space 3} .0066079
{txt}{space 9}tsq {c |}{col 14}{res}{space 2}-.0000493{col 26}{space 2} .0000141{col 37}{space 1}   -3.50{col 46}{space 3}0.001{col 54}{space 4}-.0000776{col 67}{space 3} -.000021
{txt}{space 7}_cons {c |}{col 14}{res}{space 2}-.6391797{col 26}{space 2} .1337661{col 37}{space 1}   -4.78{col 46}{space 3}0.000{col 54}{space 4}-.9078567{col 67}{space 3}-.3705026
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. predict double resid, res
{txt}
{com}. regress D.ln_ne L.resid L(1/4)D.(ln_ne ln_se ln_me)

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      50
{txt}{hline 13}{char +}{hline 30}           F( 13,    36) ={res}    7.27
    {txt}   Model {char |} {res} .025473081    13  .001959468           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} .009704339    36  .000269565           {txt}R-squared     = {res} 0.7241
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.6245
    {txt}   Total {char |} {res}  .03517742    49  .000717907           {txt}Root MSE      = {res} .01642

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     D.ln_ne{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 7}resid {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3499235{col 26}{space 2} .4336711{col 37}{space 1}   -0.81{col 46}{space 3}0.425{col 54}{space 4}-1.229449{col 67}{space 3} .5296022
{txt}{space 12} {c |}
{space 7}ln_ne {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} 1.557219{col 26}{space 2} .4505869{col 37}{space 1}    3.46{col 46}{space 3}0.001{col 54}{space 4} .6433868{col 67}{space 3} 2.471052
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .0145884{col 26}{space 2} .4795908{col 37}{space 1}    0.03{col 46}{space 3}0.976{col 54}{space 4}-.9580669{col 67}{space 3} .9872437
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.1269116{col 26}{space 2} .4169611{col 37}{space 1}   -0.30{col 46}{space 3}0.763{col 54}{space 4}-.9725478{col 67}{space 3} .7187247
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .7074878{col 26}{space 2} .4284787{col 37}{space 1}    1.65{col 46}{space 3}0.107{col 54}{space 4}-.1615073{col 67}{space 3} 1.576483
{txt}{space 12} {c |}
{space 7}ln_se {c |}
{space 9}LD. {c |}{col 14}{res}{space 2} .6462859{col 26}{space 2} .2982597{col 37}{space 1}    2.17{col 46}{space 3}0.037{col 54}{space 4} .0413872{col 67}{space 3} 1.251185
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .1420399{col 26}{space 2} .2307202{col 37}{space 1}    0.62{col 46}{space 3}0.542{col 54}{space 4}-.3258823{col 67}{space 3}  .609962
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2} .3932306{col 26}{space 2} .2305856{col 37}{space 1}    1.71{col 46}{space 3}0.097{col 54}{space 4}-.0744186{col 67}{space 3} .8608798
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2} .0388579{col 26}{space 2} .2443514{col 37}{space 1}    0.16{col 46}{space 3}0.875{col 54}{space 4}-.4567097{col 67}{space 3} .5344254
{txt}{space 12} {c |}
{space 7}ln_me {c |}
{space 9}LD. {c |}{col 14}{res}{space 2}-1.903652{col 26}{space 2} .5942154{col 37}{space 1}   -3.20{col 46}{space 3}0.003{col 54}{space 4}-3.108777{col 67}{space 3}-.6985275
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2} .2178245{col 26}{space 2} .5062558{col 37}{space 1}    0.43{col 46}{space 3}0.670{col 54}{space 4}-.8089099{col 67}{space 3} 1.244559
{txt}{space 8}L3D. {c |}{col 14}{res}{space 2}-.2640008{col 26}{space 2} .4292576{col 37}{space 1}   -0.62{col 46}{space 3}0.542{col 54}{space 4}-1.134576{col 67}{space 3} .6065739
{txt}{space 8}L4D. {c |}{col 14}{res}{space 2}-.6087006{col 26}{space 2} .4256548{col 37}{space 1}   -1.43{col 46}{space 3}0.161{col 54}{space 4}-1.471968{col 67}{space 3} .2545672
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0025171{col 26}{space 2} .0070279{col 37}{space 1}    0.36{col 46}{space 3}0.722{col 54}{space 4}-.0117361{col 67}{space 3} .0167703
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. savedresults comp eg e(), include(macros: depvar scalar: ll matrix: b V) tol(1e-7) verbose
{txt}comparing macro  e(depvar)
comparing scalar e(ll)
comparing matrix e(b)
comparing matrix e(V)

{com}. 
. log close
      {txt}name:  {res}<unnamed>
       {txt}log:  {res}f:\statadat\cs_egranger.smcl
  {txt}log type:  {res}smcl
 {txt}closed on:  {res}16 Aug 2012, 22:38:30
{txt}{.-}
{smcl}
{txt}{sf}{ul off}