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XTPEDRONI: Stata module to perform Pedroni's panel cointegration tests and Panel Dynamic OLS estimation

Author

Listed:
  • Timothy Neal

    (University of New South Wales)

Programming Language

Stata

Abstract

xtpedroni has two functions: First, it allows Stata users to compute Pedroni's (OBES 1999, REStat 2001) seven test statistics under a null of no cointegration in a heterogeneous panel (medium to large N, large T) with one or more nonstationary regressors. These test statistics are panel-v, panel-rho, group-rho, panel-t (non-parametric), group-t (non-parametric), panel-adf (parametric t), and group-adf (parametric t). All test statistics are normalised to be distributed under N(0,1). All of the statistics, save for panel-v, diverge to negative infinity as the p-value converges to 0. Second, it computes Pedroni's group mean Panel Dynamic Ordinary Least Squares estimates. Very briefly, it extends the Dynamic OLS technique of estimating the cointegrating vector in a single equation to panel time series data (medium to large N, large T). Dynamic OLS involves adding lags and leads of the regressors to eliminate feedback effects and endogeneity. In Panel Dynamic OLS, a DOLS regression is conducted for each individual, and the results are combined for the entire panel following Pedroni's group mean approach. Variables must exhibit cointegration to be used here.

Suggested Citation

  • Timothy Neal, 2014. "XTPEDRONI: Stata module to perform Pedroni's panel cointegration tests and Panel Dynamic OLS estimation," Statistical Software Components S457925, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457925
    Note: This module should be installed from within Stata by typing "ssc install xtpedroni". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpedroni.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpedroni.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pedronidata.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pedronireplication.do
    File Function: sample code
    Download Restriction: no
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