Error-correction–based cointegration tests for panel data

Damiaan Persyn () and Joakim Westerlund
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Joakim Westerlund: Department of Economics, Lund University

Stata Journal, 2008, vol. 8, issue 2, pages 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. Copyright 2008 by StataCorp LP.

Keywords: xtwest; panel cointegration test; common-factor restriction; cross-sectional dependence; health-care expenditures (search for similar items in EconPapers)
Date: 2008
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