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I am using the Johansen test for cointegration. When performing the test on a single group of series using the drop-down menu, it is to specify exogenous explanatory variables. However, I don't see any options in the Command Reference (under the command "coint") to list exogenous variables. Does anyone know how to do this?

For example, in the following expression, how would I include an exogenous variable x3?

coint(c,1) y x1 x2

Thank you,
Rachel

You can specify them with an @ sign after the coint command:

coint(c,1) y x1 x2 @ x3

But how does this work for the engle-granger test

Writing

coint(method=eg) y x1 x2 @ x3

does not include x3 in the exogenous list.

Please help?

As per the Command Reference: