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XTPUNITCOINT: Stata module to compute panel cointegration and stationarity tests with structural breaks and common factors

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

The xtpunitcoint package provides three commands for panel data analysis: (1) xtpcointegwe implements the panel cointegration test of Westerlund and Edgerton (2008, Oxford Bulletin of Economics and Statistics). Tests the null hypothesis of no cointegration allowing for structural breaks (level shift or regime shift) and cross-sectional dependence via common factors estimated by principal components with Bai-Ng (2002) factor selection. (2) xtpcointegboot implements the bootstrap panel cointegration test of Westerlund and Edgerton (2007, Economics Letters). Tests the null hypothesis of cointegration using the McCoskey-Kao (1998) LM+ statistic with sieve bootstrap critical values to correct for size distortions under cross-sectional dependence. (3) )xtpkpss implements the panel KPSS stationarity test of Carrion-i-Silvestre, del Barrio-Castro, and López-Bazo (2005, Econometrics Journal). Tests the null of stationarity allowing for multiple structural breaks at unknown dates, detected via sequential Bai-Perron (1998) testing with the LWZ information criterion.

Suggested Citation

  • Merwan Roudane, 2026. "XTPUNITCOINT: Stata module to compute panel cointegration and stationarity tests with structural breaks and common factors," Statistical Software Components S459653, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459653
    Note: This module should be installed from within Stata by typing "ssc install xtpunitcoint". 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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcointegboot.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcointegboot.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcointegwe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcointegwe.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpkpss.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpkpss.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpcointegboot_engine.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpcointegwe_engine.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpkpss_engine.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpunitcoint_example.do
    File Function: sample do-file
    Download Restriction: no
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