The xtwest command implements the four panel cointegration tests developed by Westerlund (2007). The underlying idea is to test for the absence of cointegration by determining whether there exists error correction for individual panel members or for the panel as a whole. 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. The routine will be described in a forthcoming Stata Journal article. The routine relies upon N.J. Cox's -matvsort- routine, which is included in the package.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456941.
Size: Programming language: Stata Requires: Stata version 8.0 Date of creation: 11 Jun 2008 Date of revision: Handle: RePEc:boc:bocode:s456941
Note: This module may be installed from within Stata by typing "ssc install xtwest". Windows users should not attempt to download these files with a web browser. Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC