*! version 1.0.0 21may2026
help mixi12_mco_compare (Stata)

Title

mixi12_mco_compare -- Side-by-side comparison of every
multicointegration estimator and every test

Syntax

mixi12_mco_compare y_flow x_flowlist [if] [in] [, options]

trend(spec) none, c (default), ct, ctt

autolag(crit) bic (default), aic, hqic, fixed

maxlags(#) cap on auto-selected lag (default 8)

leads(#) DOLS / TAOLS lead order (default 2)

dlags(#) DOLS / TAOLS lag order (default 2)

kernel(name) bartlett (default), parzen, qs

k(#) TAOLS basis dimension (default 12)

saving(file) save the comparison matrix to file.dta

Description

Runs all six estimators currently available via multicoint
(OLS, FM-OLS, DOLS, CCR, IM-OLS, TAOLS) and the three multicointegration
tests (Granger-Lee 1989/1990, Engsted-Gonzalo-Haldrup 1997, Sun et al.
2026 adaptive F). Collects the long-run coefficient on the cumulated
stock regressor β_cum, its standard error, R², and the three test
statistics into a single comparison table.

Stored results

Matrices (rows ordered ols, fmols, dols, ccr, imols, taols)

r(bcum) long-run coefficient on the cumulated regressor

r(se) standard error

r(r2) R²

r(gl) Granger-Lee statistic

r(egh) EGH t-statistic

r(taols) Sun et al. adaptive F

Examples

1. Compare all six estimators on a flow system

mixi12_mco_compare y x, trend(c) leads(2) dlags(2)

2. Save the comparison matrix for later analysis

mixi12_mco_compare y x z, trend(ct) saving(mco_table.dta)

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Package

Master: mixi12.
Multicointegration commands: mixi12_mco,
mixi12_gl, mixi12_egh.
Companions: mixi12_unit, mixi12_haldrup,
mixi12_johansen, mixi12_trans, mixi12_sw,
mixi12_sim, mixi12_graph, mixi12_cv.
Engine: multicoint.