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Error-correction–based cointegration tests for panel data

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Author Info

  • Damiaan Persyn

    ()
    (LICOS, Katholieke Universiteit Leuven)

  • Joakim Westerlund

    (Department of Economics, Lund University)

Abstract

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. Copyright 2008 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 8 (2008)
Issue (Month): 2 (June)
Pages: 232-241

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Handle: RePEc:tsj:stataj:v:8:y:2008:i:2:p:232-241

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Related research

Keywords: xtwest; panel cointegration test; common-factor restriction; cross-sectional dependence; health-care expenditures;

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