Panel cointegration tests.
Syntax
pool_name.coint(option) pool_ser1 pool_ser2 [pool_ser3]...
Follow the pool name with the coint keyword, any options, and a list of two or more ordinary or pool series.
Options
You may specify the type using one of the following keywords:
Pedroni (default) | Pedroni (1994 and 2004). |
Kao | Kao (1999) |
Fisher | Fisher - pooled Johansen |
Depending on the type selected above, the following may be used to indicate deterministic trends:
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 | No deterministic trend in the data, and no intercept or trend in the cointegrating equation. Applicable to Fisher tests. |
b | No deterministic trend in the data, and an intercept but no trend in the cointegrating equation. Applicable to Fisher tests. |
c | Linear trend in the data, and an intercept but no trend in the cointegrating equation. Applicable to Fisher tests. |
d | Linear trend in the data, and both an intercept and a trend in the cointegrating equation. Applicable to Fisher tests. |
e | Quadratic trend in the data, and both an intercept and a trend in the cointegrating equation. Applicable to Fisher tests. |
Additional options:
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. |
info=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=  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. |
Examples
pool01.coint(fisher,lag=1 2,c) y? x1? x2?
performs a Johansen test for pool series Y?, X1?, and X2? with a lag of 1 to 2 and linear trend in the data, and an intercept but no trend in the cointegrating equation is assumed as exogenous variables.
Cross-references
See
“References” for details on panel cointegration testing. See also
Pool::uroot.