XTPUNITCOINT: Stata module to compute panel cointegration and stationarity tests with structural breaks and common factors

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: The xtpunitcoint package provides three commands for panel data analysis: (1) xtpcointegwe implements the panel cointegration test of Westerlund and Edgerton (2008, Oxford Bulletin of Economics and Statistics). Tests the null hypothesis of no cointegration allowing for structural breaks (level shift or regime shift) and cross-sectional dependence via common factors estimated by principal components with Bai-Ng (2002) factor selection. (2) xtpcointegboot implements the bootstrap panel cointegration test of Westerlund and Edgerton (2007, Economics Letters). Tests the null hypothesis of cointegration using the McCoskey-Kao (1998) LM+ statistic with sieve bootstrap critical values to correct for size distortions under cross-sectional dependence. (3) )xtpkpss implements the panel KPSS stationarity test of Carrion-i-Silvestre, del Barrio-Castro, and López-Bazo (2005, Econometrics Journal). Tests the null of stationarity allowing for multiple structural breaks at unknown dates, detected via sequential Bai-Perron (1998) testing with the LWZ information criterion.

Language: Stata
Requires: Stata version 14
Keywords: panel data; cointegration; structural breaks; common factors (search for similar items in EconPapers)
Date: 2026-03-27
Note: This module should be installed from within Stata by typing "ssc install xtpunitcoint". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtpcointegboot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpcointegboot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpcointegwe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpcointegwe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpkpss.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpkpss.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpcointegboot_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpcointegwe_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpkpss_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpunitcoint_example.do sample do-file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459653

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().