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. Copyright 2008 by StataCorp LP.
Volume (Year): 8 (2008)
Issue (Month): 2 (June)
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References listed on IDEAS
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- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
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