help: lmeg dialog:

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 order(#)

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 - Egypt
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)"