*! version 1.0.0 18may2026
help multicoint_cv (part of multicoint)

Title

multicoint_cv -- Critical values for the Engsted-Gonzalo-Haldrup
(1997) ADF test of multicointegration

Package

This command is part of the multicoint library
(main, multicoint_sim,
multicoint_graph).

Syntax

multicoint_cv , [options]

trend(spec) ct (linear, default) or ctt (quadratic)

m1(#) number of I(1) regressors (0..4)

m2(#) number of I(2) regressors (1 or 2)

tsize(#) sample size for interpolated value; abbreviates to t()

Description

Displays the asymptotic critical values from Engsted, Gonzalo & Haldrup
(1997), Tables 1 and 2, for the augmented Dickey-Fuller t-statistic
applied to the residuals of the multicointegration regression with
m_1 I(1) regressors, m_2 I(2) regressors, and a linear (ct) or
quadratic (ctt) deterministic trend. When tsize(#) is supplied,
the table values are linearly interpolated at the requested T and returned
in r().

Examples

1. Full c.v. table, linear trend, m1=1, m2=1

multicoint_cv, trend(ct) m1(1) m2(1)

2. Interpolated c.v. at T=350 with quadratic trend, m1=2, m2=1

multicoint_cv, trend(ctt) m1(2) m2(1) tsize(350)

Stored results

When tsize(#) is supplied:

r(cv01) 1% critical value

r(cv025) 2.5% critical value

r(cv05) 5% critical value

r(cv10) 10% critical value

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Also see

Online: multicoint, multicoint_sim, multicoint_graph