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cointegration and error correction model in stata

Welcome to the comprehensive Stata tutorial package on cointegration and error correction models. In this video series, I walk you through the Engle and Granger two-step method, helping you understand and apply these advanced econometric techniques. Get ready to enhance your analytical skills and discover the power of cointegration in economic modeling.

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Cointegration and Error Correction Model - Stata Video Material

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Buy the material of my video "cointegration and error correction model in Stata".

1- Slides
2- Complete DO File to replicate all the tests, graphs and results.
3- Dataset
You will get the following files:
  • DO (4KB)
  • PDF (1MB)
  • XLS (42KB)

What's Included:


Gain access to the Stata Do File used in the video tutorial. This file contains all the commands and scripts demonstrated by Juan, making it easy for you to replicate the analysis step by step.

Slides - Presentation

Receive the presentation slides used in the video. These slides provide a concise summary of the key concepts covered, making it an excellent reference material for your studies.


Obtain the dataset used in the tutorial, allowing you to practice the techniques on real-world data. It's the perfect hands-on experience to solidify your understanding.

What You'll Learn:

By purchasing this tutorial package, you'll acquire the knowledge and practical skills to:

  • Detect cointegration between non-stationary variables using the Engle and Granger method.
  • Estimate both the long-run and short-run models, gaining insights into economic relationships over different time horizons.
  • Interpret the error correction term and understand its role in restoring equilibrium.
  • Implement crucial model diagnostics to validate your econometric analysis.
  • Apply these advanced techniques to real-world datasets and enhance your proficiency in Stata.

Topics Covered:

  1. Introduction to Cointegration: Understand the concept of cointegration and why it's crucial in time series analysis.
  2. Engle and Granger Two-Steps Method: Learn the Engle and Granger approach to detecting cointegration between non-stationary variables.
  3. Order of Integration: Discover how to determine the order of integration for your variables and ensure they are suitable for cointegration analysis.
  4. Long-Run Equilibrium Model: Dive into the estimation of the long-run equilibrium model using OLS (Ordinary Least Squares) regression.
  5. Augmented Dickey-Fuller Test: Explore the augmented Dickey-Fuller test as a tool to assess the stationarity of variables and confirm cointegration.
  6. Error Correction Model (Short-Run Model): Learn how to estimate the error correction model, which explains short-term dynamics and deviations from the long-run equilibrium.
  7. Error Correction Term: Understand the significance and interpretation of the error correction term, a critical component of error correction models.

Watch the Video Tutorial

Customer Reviews

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Verified Buyer

11 months ago

professor or economics

It was useful


Verified Buyer

11 months ago

professor of economics

Thank yoy very much