coint |
a | No deterministic trend in the data, and no intercept or trend in the cointegrating equation. |
b | No deterministic trend in the data, and an intercept but no trend in the cointegrating equation. |
c | Linear trend in the data, and an intercept but no trend in the cointegrating equation. |
d | Linear trend in the data, and both an intercept and a trend in the cointegrating equation. |
e | Quadratic trend in the data, and both an intercept and a trend in the cointegrating equation. |
s | Summarize the results of all 5 options (a-e). |
restrict | Impose restrictions as specified by the append (coint) proc. |
m = integer | Maximum number of iterations for restricted estimation (only valid if you choose the restrict option). |
c = scalar | Convergence criterion for restricted estimation. (only valid if you choose the restrict option). |
save = mat_name | Stores test statistics as a named matrix object. The save= option stores a matrix, where is the number of endogenous variables in the VAR. The first column contains the eigenvalues, the second column contains the maximum eigenvalue statistics, the third column contains the trace statistics, and the fourth column contains the log likelihood values. The i-th row of columns 2 and 3 are the test statistics for rank . The last row is filled with NAs, except the last column which contains the log likelihood value of the unrestricted (full rank) model. |
cvtype=ol | Display 0.05 and 0.01 critical values from Osterwald-Lenum (1992). This option reproduces the output from version 4. The default is to display critical values based on the response surface coefficients from MacKinnon-Haug-Michelis (1999). Note that the argument on the right side of the equals sign are letters, not numbers 0-1). |
cvsize=arg (default=0.05) | Specify the size of MacKinnon-Haug-Michelis (1999) critical values to be displayed. The size must be between 0.0001 and 0.9999; values outside this range will be reset to the default value of 0.05. This option is ignored if you set “cvtype=ol”. |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
method=arg | Test method: Engle-Granger residual test (“eg”), Phillips-Ouliaris residual test (“po”). |
trend=arg (default=“const”) | Specification for the powers of trend to include in the cointegrating equation: None (“none”), Constant (“const”), Linear trend (“linear”), Quadratic trend (“quadratic”). Note that the specification implies all trends up to the specified order so that choosing a quadratic trend instructs EViews to include a constant and a linear trend term along with the quadratic. |
regtrend=arg (default=“none”) | Additional trends to include in the regressor equations (but not the cointegrating equation): None (“none”), Constant (“const”), Linear trend (“linear”), Quadratic trend (“quadratic”). Only trend orders higher than those specified by “trend=” will be considered. Note that the specification implies all trends up to the specified order so that choosing a quadratic trend instructs EViews to include a constant and a linear trend term along with the quadratic. |
lag=arg (default=“a”) | Method of selecting the lag length (number of first difference terms) to be included in the regression: “a” (automatic information criterion based selection), or integer (user-specified lag length). |
lagtype=arg (default=“sic”) | Information criterion or method to use when computing automatic lag length selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn), “msaic” (Modified Akaike), “msic” (Modified Schwarz), “mhqc” (Modified Hannan-Quinn), “tstat” (t-statistic). |
maxlag=integer | Maximum lag length to consider when performing automatic lag-length selection default= where is the number of coefficients in the cointegrating equation. Applicable when “lag=a”. |
lagpval=number (default=0.10) | Probability threshold to use when performing automatic lag-length selection using a t-test criterion. Applicable when both “lag=a” and “lagtype=tstat”. |
nodf | Do not degree-of-freedom correct estimates of the variances. |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
trend=arg (default=“const”) | Specification for the powers of trend to include in the cointegrating equation: None (“none”), Constant (“const”), Linear trend (“linear”), Quadratic trend (“quadratic”). Note that the specification implies all trends up to the specified order so that choosing a quadratic trend instructs EViews to include a constant and a linear trend term along with the quadratic. |
regtrend=arg (default=“none”) | Additional trends to include in the regressor equations (but not the cointegrating equation): None (“none”), Constant (“const”), Linear trend (“linear”), Quadratic trend (“quadratic”). Only trend orders higher than those specified by “trend=” will be considered. Note that the specification implies all trends up to the specified order so that choosing a quadratic trend instructs EViews to include a constant and a linear trend term along with the quadratic. |
nodf | Do not degree-of-freedom correct the coefficient covariance estimate. |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
lag=arg (default=0) | Lag specification: integer (user-specified lag value), “a” (automatic selection). |
infosel=arg (default=“aic”) | Information criterion for automatic selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn) (if “lag=a”). |
maxlag=integer | Maximum lag-length for automatic selection (optional) (if “lag=a”). The default is an observation-based maximum. |
kern=arg (default=“bart”) | Kernel shape: “none” (no kernel), “bart” (Bartlett, default), “bohman” (Bohman), “daniell” (Daniel), “parzen” (Parzen), “parzriesz” (Parzen-Riesz), “parzgeo” (Parzen-Geometric), “parzcauchy” (Parzen-Cauchy), “quadspec” (Quadratic Spectral), “trunc” (Truncated), “thamm” (Tukey-Hamming), “thann” (Tukey-Hanning), “tparz” (Tukey-Parzen). |
bw=arg (default=“nwfixed”) | Bandwidth: “fixednw” (Newey-West fixed), “andrews” (Andrews automatic), “neweywest” (Newey-West automatic), number (User-specified bandwidth). |
nwlag=integer | Newey-West lag-selection parameter for use in nonparametric bandwidth selection (if “bw=neweywest”). |
bwint | Use integer portion of bandwidth. |
Pedroni (default) | Pedroni (1994 and 2004). |
Kao | Kao (1999) |
Fisher | Fisher - pooled Johansen |
const (default) | Include a constant in the test equation. Applicable to Pedroni and Kao tests. |
trend | Include a constant and a linear time trend in the test equation. Applicable to Pedroni tests. |
none | Do not include a constant or time trend. Applicable to Pedroni tests. |
a, b, c, d, or e | Indicate deterministic trends using the “a”, “b”, “c”, “d”, and “e” keywords, as detailed above in
“Options for the Johansen Test”. Applicable to Fisher tests. |
ac=arg (default=“bt”) | Method of estimating the frequency zero spectrum: “bt” (Bartlett kernel), “pr” (Parzen kernel), “qs” (Quadratic Spectral kernel). Applicable to Pedroni and Kao tests. |
band=arg (default=“nw”) | Method of selecting the bandwidth, where arg may be “nw” (Newey-West automatic variable bandwidth selection), or a number indicating a user-specified common bandwidth. Applicable to Pedroni and Kao tests. |
lag=arg | For Pedroni and Kao tests, the method of selecting lag length (number of first difference terms) to be included in the residual regression. For Fisher tests, a pair of numbers indicating lag. |
infosel=arg (default=“sic”) | Information criterion to use when computing automatic lag length selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn). Applicable to Pedroni and Kao tests. |
maxlag=int | Maximum lag length to consider when performing automatic lag length selection, where int is an integer. The default is where is the length of the cross-section. Applicable to Pedroni and Kao tests. |
disp=arg (default=500) | Maximum number of individual results to be displayed. |
prompt | Force the dialog to appear from within a program. |
p | Print results. |