SWTRENDS Procedure

@SWTrends tests for rank of cointegration using the Stock-Watson(1988) common trends approach.

@SWTrends( options ) start end

# list of endogenous variables

Parameters

start, end

range to use. By default, the defined range of all the endogenous variables allowing for lags.

Options

DET=NONE/[CONSTANT]/TREND

Deterministic parts to be removed before analysis

LAGS=number of lags in the VAR [1]

NULL=number of unit roots under the null [1]

[PRINT]/NOPRINT

Example

The null is 3 unit roots, which means no cointegration.

@swtrends(lags=6,det=trend,null=3) 1949:1 *

# y c in

Output

Stock-Watson Test of Number of Common Trends

Variables: Y C IN

Estimated from 1949:01 to 1988:04

Deterministic Components Removed: Constant + Trend

Lags Used in Prewhitening Filter 6

Null Versus Statistic

3 2 -27.991331

3 1 -27.991331

3 0 -5.625436