On Fri, 22 Aug 2008, Sven Schreiber wrote:
I was just thinking, maybe consolidate 'coint' and
'coint2' into a
single 'coint' command with options that determine which test would be used?
So Johansen could become the default because it's the industry standard
(but I'm not really pushing this aspect):
coint --- would do what coint2 does now,
and the Engle-Granger syntax would become something like:
coint myvar1 myvar2 --eg
If it is decided that some additional cointegration test should be
elevated from user-contributed status to a built-in thing, this would
just become a new option:
coint myvar1 myvar2 --best-cointegration-test-ever
Also, for panel data I guess the 'coint' command could be enhanced to do
some panel cointegration test (think coint --ips or coint --lls or
something, but I mean as a possibility in the future, not now).
I like this idea. I updated the wiki page to the currest status of the
discussion.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti