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XTNONLINCOINT: Stata module providing nonlinear panel cointegration tests robust to structural breaks and cross-sectional dependence

Author

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  • Merwan Roudane

Programming Language

Abstract

xtnonlincoint provides two nonlinear panel cointegration tests that are robust to cross-sectional dependence. The subcommand "ecm" implements the nonlinear error-correction based test of Omay, Emirmahmutoglu and Denaux (2017, Economics Letters 157, 1-4, doi:10.1016/j.econlet.2017.05.017), forming the Abadir-Distaso modified Wald group-mean statistic with a sieve bootstrap. The subcommand "fffff" implements the fractional frequency flexible Fourier form test of Olayeni, Tiwari and Wohar (2021, Applied Economics Letters 28, 482-486, doi:10.1080/13504851.2020.1761526), combining KSS nonlinearity, smooth Fourier structural breaks selected on a fractional-frequency grid, a stationary bootstrap and the Sequential Panel Selection Method. Both subcommands print journal-style tables and optional plots, and return their results in r().

Suggested Citation

  • Merwan Roudane, 2026. "XTNONLINCOINT: Stata module providing nonlinear panel cointegration tests robust to structural breaks and cross-sectional dependence," Statistical Software Components S459764, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459764
    Note: This module should be installed from within Stata by typing "ssc install xtnonlincoint". 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/xtnonlincoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_ecm.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_fffff.sthlp
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