Forecasting: Cointegration / co-integration

[Egon]

Has anyone ever conduced cointegration (or co-integration) with SPSS?
If so, how? Syntax code is also more than welcome!

Thanks, Egon

[Andy W]

I would think this would be very difficult to test for co-integration.
If my memory serves me correctly a Dickey Fuller unit root test can be
conducted via OLS and then the t-values compared to a DF table. But Co-
integration (and the subsequent residuals for the error correction
model) I know in Stata are estimated via some maximum likelihood
method. Stata also does other desirable things like transforms lost
lags via the Prais-Winsten method I believe (so all time series models
are estimated via iteration in Stata). I would suggest you work with a
program that has commands to do this directly, and R is always an
option.

Good luck
Andy W