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XTWEST: Stata module for testing for cointegration in heterogeneous panels

Author

Listed:
  • Damiaan Persyn

    (LICOS, Katholieke Universiteit Leuven)

Programming Language

Stata

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.

Suggested Citation

  • Damiaan Persyn, 2008. "XTWEST: Stata module for testing for cointegration in heterogeneous panels," Statistical Software Components S456941, Boston College Department of Economics, revised 29 Jun 2010.
    • Handle: RePEc:boc:bocode:s456941
    Note: This module should be installed from within Stata by typing "ssc install xtwest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtwest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtwest.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtwestdata.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/matvsort.ado
    File Function: program code
    Download Restriction: no
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    Cited by:

    1. Yanping Chong & Òscar Jordà & Alan M. Taylor, 2012. "The Harrod–Balassa–Samuelson Hypothesis: Real Exchange Rates And Their Long‐Run Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 609-634, May.

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