Hi everyone!

I need your advice for Engle-Graner 2-step procedure in Stata. Suppose that the model uses 5 variables and among them there is one cointegrating relationship, then I can apply the ECM using the first differences, right? The command is : egranger var1 var2 var3 var4 var5, lags(1) ecm reg Then, the 1-st step regression shows me the long-run equilibrium and the short-run is from the 2nd step regress. I'm confused as far as the second-step, I have to check the p-values for significance as in the typical OLS or I have to compare t-statistics with Engle-Granger tables? I'm really confused. Does anybody have an idea? Thank you in advance for your response.