Good morning,
My problem is about the Engle-Granger two step procedure. When I run the regression in STATA, I only have outputs for the coefficients, but nothing about the tests, std errors,etc., Can it be because of the small sample size?
Every help is very appreciated, thank you
My problem is about the Engle-Granger two step procedure. When I run the regression in STATA, I only have outputs for the coefficients, but nothing about the tests, std errors,etc., Can it be because of the small sample size?
Every help is very appreciated, thank you
