*! version 1.0.0 21may2026
help mixi12_sw (Stata)

Title

mixi12_sw -- Stock-Watson (1993) triangular estimator for
mixed I(1) / I(2) systems

Syntax

mixi12_sw depvar [if] [in] , i1(varlist)
i2(varlist) [options]

i1(varlist) I(1) regressors

i2(varlist) I(2) regressors

leads(#) leads of I(1)/I(2) regressors (default 2)

lagsdiff(#) lags of same (default 2)

trend(spec) c (default), ct

hac use Newey-West HAC standard errors

bw(#) HAC bandwidth (0 = Newey-West rule)

level(#) confidence level (default 95)

Description

Implements the leads-and-lags estimator of Stock & Watson (1993) for
single-equation cointegrating regressions that mix I(1) and I(2)
regressors. The augmentation by leads and lags of all first differences
removes long-run endogeneity so the estimated long-run coefficients have
a mixed-Gaussian limiting distribution; the printed t-ratios and p-values
are then asymptotically valid.

For small samples, request the hac option to use Newey-West HAC
standard errors instead of the default OLS-based variance.

Examples

Standard SW with two leads and two lags

mixi12_sw m2 , i1(rd) i2(mb p) leads(2) lagsdiff(2)

HAC inference, broken linear trend

mixi12_sw m2 , i1(rd) i2(mb p) leads(3) lagsdiff(3) trend(ct) hac

Author

Dr Merwan Roudane,
merwanroudane920@gmail.com.

Package

Master: mixi12.
Companions: mixi12_unit, mixi12_haldrup,
mixi12_johansen, mixi12_trans, mixi12_sim,
mixi12_graph, mixi12_cv.