* Cointegration - ECM example
set nocolor
sample 1 100
set ranseed=402
genr u=nor(1)
genr y=sum(u)
set ranseed=598
genr v=nor(1)
genr x=sum(v)
stat y x/pcor
* Checking for order of integration
coint y
coint x
coint y/ndiff=1
coint x/ndiff=1
*  Checking for cointegration - "manually"
ols y x/resid=r rstat
coint r
* Checking for cointegration - using the command
coint y x/type=resd max
* Transformations for ECM
genr lx=lag(x)
genr ly=lag(y)
genr dx=x-lx
genr dy=y-ly
genr adjterm=ly-lx
sample 2 100
* ECM
ols dy dx ly lx/rstat
* ECM constrained
ols dy dx adjterm/rstat