ncointtest is a Stata implementation of the non-coointegration test, as developed by Souza et al (2018). More info about the test and its arguments can be found in the help file in this repository. Installation can be done by downloading the .ado file in this repository and placing on your personal ado files in your main disk (or by running it before using the command). This command also requires moremata, which can be installed by typing ssc install moremata on your terminal.
Acknowledgements
This command was translated from code belonging to Prof. Igor Viveiro Melo Souza, who graciously allowed for its translation. Mata function for fractionary differentiation was based on freely distributed code in the fracdiff package in R. Special thanks to Jorge Perez, whose discret fourier transform allowed for the fast translation of this code and also gave his authorization for use.
Disclaimer
This program is provided without warranty of any kind. The author is not responsible for any cost derived by the usage of this program.
References
Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco & Pascal Bondon (2018) The Estimation and Testing of the Cointegration Order Based on the Frequency
Domain, Journal of Business & Economic Statistics, 36:4, 695-704, DOI: 10.1080/07350015.2016.1251442
Leschinski, C., Voges, M. & Sibbertsen, P. (2020) A comparison of semiparametric tests for fractional cointegration. Stat Papers. https://doi.org/10.1007/s00362-020-01169-1
Author
Alan Leal, University of São Paulo, Brazil
[email protected]