*! version 1.0.1 21may2026
help mixi12_haldrup (Stata)

Title

mixi12_haldrup -- Haldrup (1994 JoE) single-equation
residual-based ADF cointegration test (delegates to dptest)

Syntax

mixi12_haldrup depvar [if] [in] , i2(varlist)
[i1(varlist) options]

i2(varlist) I(2) regressors (at least one required)

i1(varlist) I(1) regressors (may be empty)

det(spec) none, const (default), trend, qtrend

maxlag(#) ADF max lag (−1 = Schwert, default)

level(#) 1, 5 (default), 10

crit(name) bic (default) or aic

Description

Tests the null of no cointegration between depvar and the supplied
I(1) and I(2) regressors using the residual-based ADF test of Haldrup
(1994 J. Econometrics 63: 153-181). Critical values follow Haldrup's
Table 1 (intercept included) and are indexed by (m1, m2, T).

The actual regression, the ADF stage and the critical-value lookup are
performed by dptest (Roudane 2026, sub-test coint); this
wrapper just exposes the cointegration test inside the mixi12 visual
style with the i1() / i2() option names familiar to users
of mixi12_johansen and mixi12_sw.

Stored results

Scalars

r(t) ADF t-statistic on the static residual

r(cv01) / r(cv05) / r(cv10) Haldrup Table 1 critical values

r(lags) ADF lag length used by dptest

r(N) effective sample

r(m1) / r(m2) numbers of I(1) / I(2) regressors

r(reject) 1 if H0 of no cointegration is rejected

r(verdict) reject / do-not-reject sentence

Examples

1. Long-run money demand in nominal levels

mixi12_haldrup m2, i1(rd) i2(mb p) det(trend)

2. Force a Schwert-bound lag and test at 1%

mixi12_haldrup m2, i1(rd) i2(mb p) det(const) maxlag(8) level(1)

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Package

Master: mixi12.
Companions: mixi12_unit, mixi12_johansen,
mixi12_trans, mixi12_sw, mixi12_sim,
mixi12_graph, mixi12_cv.
Engine: dptest.