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Error-correction-based cointegration tests for panel data

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journal contribution
posted on 2008-06-01, 00:00 authored by D Persyn, Joakim WesterlundJoakim Westerlund
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. © 2008 StataCorp LP.

History

Journal

Stata journal

Volume

8

Issue

2

Pagination

232 - 241

Publisher

StataCorp

Location

[College Station, Tex.]

ISSN

1536-867X

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2008, StataCorp