Error correction test for cointegration
rolsecm = olsecm(p,namey0,arg1, ,argn)
p = order of time polynomial in the error correction part
* -1, no deterministic part (default)
* 0, for constant term
* 1, for constant plus time-trend
* 2, for constant plus quadratic time-trend
namey = the exogenous variable wich can be a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
arg1, ,argn = arguments which can be:
* 'coint=[var1 var2 varn]' the cointegrating variables with var1 the variables which t-stat has to be tested.
* 'ncoint=x' with x the number of cointegrating variables when the user is testing a constained cointegrating vector/ (see olsecm_d for an example)
* the exogenous variables of the ECM which can be
* the string 'noprint' if the user doesn't want the to print the results of the regression
* the string 'dropna' if the user wants to delete NAs (this option should be used when dealing with daily and weekly TS)
rolsecm = a results tlist with
. rolsecm('meth') = 'olsecm'
. rolsecm('y') = y data vector of the ECM
. rolsecm('x') = x data matrix of the ECM
. rolsecm('ecm') = data matrix of the error correction
. rolsecm('nobs') = # observations in the ECM
. rolsecm('nvar') = # variables in the ECM
. rolsecm('beta') = estimated b
. rolsecm('yhat') = fited y
. rolsecm('resid') = residuals of the regression
. rolsecm('vcovar') = estimated variance-covariance matrix of beta
. rolsecm('sige') = estimated variance of the residuals
. rolsecm('sigu') = sum of squared residuals
. rolsecm('ser') = standard error of the regression
. rolsecm('tstat') = t-stats
. rolsecm('pvalue') = pvalue of the betas
. rolsecm('dw') = Durbin-Watson Statistic
. rolsecm('condindex') = multicolinearity cond index
. rolsecm('prescte') = boolean indicating the absence of a constant in the regression
. rolsecm('test p-value') = the (approximate) p-value of the test
. rolsecm('test crit. value') = the Ericsson-MacKinnon critical value of the test
. rolsecm('deterministic') = type of deterministic part in the cointegrating vector
. rolsecm('prests') = boolean indicating the presence or absence of a time series in the regression
. rolsecm('namey') = name of the y variable of the ECM
. rolsecm('namex') = name of the x variables of the ECM
. rolsecm('ecm') = location of variables in x and namex
. rolsecm('bounds') = if there is a timeseries in the regression, the bounds of the regression
. rolsecm('like') = log-likelihood of the regression
. rolsecm('dropna') = boolean indicating if NAs had been dropped
. rolsecm('nonna') = vector indicating position of non-NA values (if the option 'dropna' was active)
r=olsecm(2,'delts(lm1-lp)','delts(lp)','delts(lagts(lm1-lp-ly))','rnet','coint=[lagts(lm1-lp-ly);lagts(ly)]','ncoint=4'); Example taken from function . It reproduces equation (30) and part of table 6 from N. R. Ericsson and J. G. MacKinnon (2002), "Distribution of error correction test for cointegration", Econometrics Journal, 5, 285-318. | ![]() | ![]() |