-------------------------------------------------------------------------------
help: lmeg                                                   dialog: lmeg
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        +-------+
    ----+ Title +------------------------------------------------------------

 lmeg: Augmented Engle-Granger Cointegration Test at Higher Order AR(p)

        +--------+
    ----+ Syntax +-----------------------------------------------------------

  lmeg depvar indepvars [if] [in] , [lags(#) aux(varlist) noconstant coll]
 

        +---------+
    ----+ Options +----------------------------------------------------------

  lags(#)          Order of Lag Length; default is lag(1)

  noconstant       suppress constant term

  coll             Keep Collinear Variables

   aux(varlist) add Auxiliary Variables into model without converting them to
                    lagged variables, i.e., dummy variables, time trend,
                    ...etc.

        +-------------+
    ----+ Description +------------------------------------------------------

  lmeg computes Augmented Engle-Granger Cointegration Test at Higher Order
  AR(p)

        +---------------+
    ----+ Saved Results +----------------------------------------------------
    lmeg saves the following in r():

   r(lmegz_0)      Engle-Granger Cointegration z Test
   r(lmegzp_0)     Engle-Granger Cointegration z Test P-Value

   r(lmegt_0)      Engle-Granger Cointegration t Test
   r(lmegtp_0)     Engle-Granger Cointegration t Test P-Value

   r(lmeg_#)       Augmented Engle-Granger Cointegration t Test for order(#)
   r(lmegp_#)      Augmented Engle-Granger Cointegration t Test P-Value for ord
> er(#)

        +----------+
    ----+ Examples +---------------------------------------------------------

        clear all

        db lmeg

        sysuse lmeg.dta , clear

        lmeg y1 y2 , lags(1)

        lmeg y1 y2 , lags(1) aux(t)

        lmeg y1 y2 , lags(1) aux(t y3)

        lmeg y1 y2 , lags(2)

        return list

. clear all
. sysuse lmeg.dta , clear
. lmeg y1 y2 , lags(2)

==============================================================================
***Engle-Granger Cointegration Test
==============================================================================
 Ho: (Non Stationary) - (   Unit Root) - (No Cointegration)
 Ha: (    Stationary) - (no Unit Root) - (   Cointegration)

* Cointegration z Test  AR(0) =  -18.1861   P-Value > z    0.0000
* Cointegration t Test  AR(0) =   -3.4292   P-Value > t    0.0003

==============================================================================
*** Augmented Engle-Granger Cointegration Test
==============================================================================
 Sample Range = 2-40              Sample Size= 39
 Lag Length   = 1
* Cointegration t Test  AR(1) =   -2.0874   P-Value > t    0.0184
------------------------------------------------------------------------------
 Sample Range = 3-40              Sample Size= 38
 Lag Length   = 2
* Cointegration t Test  AR(2) =   -1.3643   P-Value > t    0.0862
------------------------------------------------------------------------------

        +------------+
    ----+ References +-------------------------------------------------------

    Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill,
        New York, USA; 726-729.

    Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl,
        & Tsoung-Chao Lee (1988) "Introduction To The Theory And Practice Of
        Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA;
        767-770.

        +--------+
    ----+ Author +-----------------------------------------------------------

  Emad Abd Elmessih Shehata
  Assistant Professor
  Agricultural Research Center - Agricultural Economics Research Institute - Eg
> ypt
  Email:   emadstat@hotmail.com
  WebPage:                http://emadstat.110mb.com/stata.htm
  WebPage at IDEAS:       http://ideas.repec.org/f/psh494.html
  WebPage at EconPapers:  http://econpapers.repec.org/RAS/psh494.htm

        +---------------+
    ----+ lmeg Citation +----------------------------------------------------

    Shehata, Emad Abd Elmessih (2012)
    LMEG: "Augmented Engle-Granger Cointegration Test at Higher Order AR(p)"