Error-correction-based cointegration tests for panel data
(2008) In Stata Journal 8(2). p.232-241- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1255280
- author
- Persyn, Damiaan and Westerlund, Joakim LU
- organization
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- st0146, panel cointegration test, cross-sectional dependence, common-factor restriction, xtwest, health-care expenditures
- in
- Stata Journal
- volume
- 8
- issue
- 2
- pages
- 232 - 241
- publisher
- StataCorp LP
- external identifiers
-
- wos:000257343800005
- scopus:48249109564
- ISSN
- 1536-867X
- language
- English
- LU publication?
- yes
- id
- affe08f3-3e84-4eeb-98b7-58553bf2dd8e (old id 1255280)
- date added to LUP
- 2016-04-01 13:48:53
- date last changed
- 2022-04-21 23:32:15
@article{affe08f3-3e84-4eeb-98b7-58553bf2dd8e,
abstract = {{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.}},
author = {{Persyn, Damiaan and Westerlund, Joakim}},
issn = {{1536-867X}},
keywords = {{st0146; panel cointegration test; cross-sectional dependence; common-factor restriction; xtwest; health-care expenditures}},
language = {{eng}},
number = {{2}},
pages = {{232--241}},
publisher = {{StataCorp LP}},
series = {{Stata Journal}},
title = {{Error-correction-based cointegration tests for panel data}},
volume = {{8}},
year = {{2008}},
}