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Error-correction-based cointegration tests for panel data

Persyn, Damiaan and Westerlund, Joakim 2008, Error-correction-based cointegration tests for panel data, Stata journal, vol. 8, no. 2, pp. 232-241.

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Title Error-correction-based cointegration tests for panel data
Author(s) Persyn, Damiaan
Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Stata journal
Volume number 8
Issue number 2
Start page 232
End page 241
Total pages 10
Publisher StataCorp
Place of publication [College Station, Tex.]
Publication date 2008-06
ISSN 1536-867X
Keyword(s) Common-factor restriction
Cross-sectional dependence
Health-care expenditures
Panel cointegration test
st0146
xtwest
Summary 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.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2008, StataCorp
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078217

Document type: Journal Article
Collections: Faculty of Business and Law
Open Access Collection
Department of Economics
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.