egcitest
Engle-Granger cointegration test
Syntax
Description
returns
the rejection decision h
= egcitest(Y
)h
from conducting the Engle-Granger
cointegration test for assessing the null hypothesis of no cointegration among the variables
in the multivariate time series Y
. egcitest
forms test statistics by regressing the response data Y(:,1)
onto the
predictor data Y(:,2:end)
, and then tests the residuals for a unit
root.
returns the table StatTbl
= egcitest(Tbl
)StatTbl
containing variables for the test results,
statistics, and settings from conducting the Engle-Granger cointegration test on the
variables of the table or timetable Tbl
.
The response variable in the regression is the first table variable, and all other
variables are the predictor variables. To select a different response variable for the
regression, use the ResponseVariable
name-value argument. To select
different predictor variables, use the PredictorNames
name-value
argument.
[___] = egcitest(___,
specifies options using one or more name-value arguments in
addition to any of the input argument combinations in previous syntaxes.
Name=Value
)egcitest
returns the output argument combination for the
corresponding input arguments.
Some options control the number of tests to conduct. The following conditions apply when
egcitest
conducts multiple tests:
For example, egcitest(Tbl,ResponseVariable="GDP",Alpha=0.025,Lags=[0
1])
chooses GDP
as the response variable from the table
Tbl
and conducts two tests at a level of significance of 0.025. The
first test includes 0
lag in the residual regression, and the second test
includes 1
lag in the residual regression.
[___,
additionally returns the following structures of regression statistics, which are required
to form the test statistic:reg1
,reg2
] = egcitest(___)
reg1
– Statistics resulting from the cointegrating regression of the specified response variableResponseVariable
onto the specified predictor variablesPredictorVariables
reg2
– Statistics resulting from the residual regression implemented by the specified unit root testRReg
Examples
Input Arguments
Output Arguments
Tips
To draw valid inferences from the test, determine a suitable value for
Lags
. For more details, see theadftest
Tips and thepptest
Tips.Samples with less than approximately 20 through 40 observations (depending on the dimension of the data
numDims
) can yield unreliable critical values, and therefore unreliable inferences. See [3].If a test result suggests that the time series are cointegrated, you can use the residuals as data for the error-correction term in a VEC representation of the variables. Follow this procedure:
Alternative Functionality
App
The Econometric Modeler app enables you to conduct the Engle-Granger cointegration test.
References
[2] Hamilton, James D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
Version History
Introduced in R2011a