Cointegration Test Wizard

This Wizard provides dialog-driven access to several cointegration testing procedures: Engle-Granger (@EGTEST), Phillips-Ouliaris (@POTEST), Johansen likelihood (@JOHMLE) and Gregory-Hansen (@GREGORYHANSEN). The last allows for breaks in the relationship.

Selecting the Cointegration Test Wizard from the Time Series Menu brings up the following dialog box:

Endogenous Variables

Use this field to enter the series you want to test (here the series USCPI, ITALCPI and EXRAT). Click on the button for a pop-up list of available variables.

Sample Start and End

Use these fields if you want to specify the start and/or end of the sample range. Leave these blank if you want to use the default range.

Testing Procedure

Select the test you want to use from this list ("Engle-Granger" is currently selected).

Deterministic Components

Use this field to select the deterministic terms (if any) included in the model. Choices vary depending on the procedure selected.

Number of (Augmenting/Window) Lags

Where applicable, use this field to select the (maximum) number of Augmenting or Window lags to be used. (This has 12 selected). You can either type a value in this directly, or use the attached spin buttons.

Method of Lag Selection

Where applicable, use this field to select the number of lags to be used (up to the maximum in the Number of Lags textbox). This is "Fixed" (just uses the number specified), "AIC(Akaike)", "BIC/SBC/Schwarz", "Hannan-Quinn" or "General-to-Specific".

Signif Level for Marginal Lag

For general-to-specific lag-selection methods, you can use this field to specify the significance level for acceptance.

Type of Break, Number of Breaks

For the procedures that support tests with one or more structural breaks, use these fields to select the type of break and maximum number of breaks.