POTESTRESIDS Procedure

@POTestResids computes a Phillips-Ouliaris(-Hansen) test for cointegration (Phillips and Ouliaris(1990),Hansen(1992)) using the residuals from a previous first-stage regression, producing MacKinnon critical values. Use @POTEST to do the first stage regression as well.

@POTestResids( options ) resids start end

Options

DET=NONE/[CONSTANT]/TREND

Indicates which deterministic components were included in the first stage regression. DET=NONE is included to maintain a common design with unit root tests, but isn't permitted.

NVAR=number of endogenous variables in the cointegrating regression, counting the dependent variable [2]

LAGS=number of lags in Bartlett window [4]

TABLE/[NOTABLE]

TABLE shows a sensitivity table (all lags 0 to LAGS)

[PRINT]/NOPRINT

TITLE=title for output ["Phillips-Ouliaris-Hansen Test"]

NOPRINT suppresses the output

Variables Defined

%CDSTAT	unit root test statistic (REAL)
%NOBS	number of regression observations + 1 (tables are based upon this) (INTEGER)