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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)

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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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Publisher 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;

Cited by:
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  1. Damiaan Persyn, 2008. "Trade as a Wage Disciplining Device," LICOS Discussion Papers 21008, LICOS - Centre for Institutions and Economic Performance, K.U.Leuven. [Downloadable!]
    Other versions:
  2. Gaétan de Rassenfosse & Bruno van Pottelsberghe, 2008. "On the price elasticity of demand for patents," Working Papers CEB 08-031.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    Other versions:
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This page was last updated on 2009-10-27.

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