Title

tc_eg -- Engle-Granger residual-based cointegration test

Syntax

tc_eg depvar indepvars [if] [in] [, maxlag(#) case(nc|c|ct) criterion(aic|bic)]

Description

Two-step Engle-Granger procedure: (1) OLS cointegrating regression,
(2) ADF on residuals. Uses MacKinnon-style critical values that depend
on the number of regressors m (1-4 tabulated).

Stored results

r(stat) r(lags) r(nobs) r(m)
r(cv) r(coint_vec)

After-command:

predict newvar, residual is not available; use
reg depvar indepvars; predict resid, residual instead, or read
r(coint_vec) and compute residuals manually.

Also see

Package overview | tc_adf | tc_pp | tc_es | tc_glsmtar | tc_bf