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:
st0146 (Other)
PURL Identifier:
http://purl.umn.edu/122588
Published in:
Stata Journal, Volume 08, Number 2
Page range:
232-241
Total Pages:
10

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

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