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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
and
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
SAGE Publications
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
2025-04-04 14:25:30
@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    = {{SAGE Publications}},
  series       = {{Stata Journal}},
  title        = {{Error-correction-based cointegration tests for panel data}},
  volume       = {{8}},
  year         = {{2008}},
}