Error–correction–based cointegration tests for panel data

This article describes a new Stata command called xtwest, which implements the four error-correction–based panel cointegration tests developed by Westerlund (2007). The tests are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics, and dependence within as well as across the cross-sectional units.


Issue Date:
2008
Publication Type:
Journal Article
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/122588
PURL Identifier:
http://purl.umn.edu/122588
Published in:
Stata Journal, 08, 2
Page range:
232-241
Total Pages:
10

Record appears in:



 Record created 2017-04-01, last modified 2020-10-28

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)