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XTWEST: Stata module for testing for cointegration in heterogeneous panels

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Author Info

  • Damiaan Persyn

    () (LICOS, Katholieke Universiteit Leuven)

Abstract

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 is described in Persyn and Westerlund (2008), Stata Journal 8 (2), 232-241. The routine relies upon N.J. Cox's -matvsort- routine, which is included in the package.

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File URL: http://fmwww.bc.edu/repec/bocode/x/xtwest.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/x/xtwest.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/x/xtwestdata.dta
File Function: sample data file
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File URL: http://fmwww.bc.edu/repec/bocode/m/matvsort.ado
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456941.

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Programming language: Stata
Requires: Stata version 8.0
Date of creation: 11 Jun 2008
Date of revision: 29 Jun 2010
Handle: RePEc:boc:bocode:s456941

Note: This module should be installed from within Stata by typing "ssc install xtwest". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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Web page: http://fmwww.bc.edu/EC/
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Related research

Keywords: panel cointegration test; Westerlund; Common Factor Restriction; Cross-Section Dependence; International Health Care Expenditures;

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