Engle Granger Cointegration Test

[nicolesaba]

Hi,
I have several series on which I would like apply Engle-Granger test.
But I am having trouble saving the results as a table and then moving on to apply the same test on other series.

I tried the freeze command, but all it does is come up with an empty table.

This is what I am using:

coint(method="eg", trend="const") ser01 ser02
freeze(table1)

If I try freeze(table1) coint(method="eg", trend="const") ser01 ser02, I get an error message.

Thanks in advance.

[EViews Gareth]

Code: Select all

group mygrp ser01 ser02 freeze(table1) mygrp.coint(method="eg", trend="const)

[nicolesaba]

Hi again. Thanks for the help.
I just copied and ran this code above, but I got an error message "Unmatched quotes in FREEZE......."
Do you know what it is and how can I fix it?
Thanks again!

[trubador]

As the message indicates, there is a missing quote in Freeze command: ...,trend="const")

[eisamabodian]

In the first step you must discern integration degree of the variables.
the variables should be I(1).
In the second step Run your regression, for example:
y c x1 x2 x3

in the third step you should run unit root test (ADF,PP,...)on the residuals of the regression.
Residuals should be stationary or I(0)
the other method is using SARGAN & BARGHAVA table.
run your regression and then check it's Durbin Watson value.
If your regression's DW be higher than critical values in the table,you have cointegration among variables.