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Error-correction-based cointegration tests for panel data

Persyn, Damiaan and Westerlund, Joakim LU (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.
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author
organization
publishing date
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
2008-10-16 13:00:12
date last changed
2017-10-08 03:55:48
@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},
  keyword      = {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},
}