MULTIPC2D: RATS module for cointegration tests in heterogenous panels with multiple regressors

Peter Pedroni

Statistical Software Components from Boston College Department of Economics

Abstract: This routine allows one to test the null of no cointegration in heterogeneous panels via both parametric and semi-parametric methods. as described in Pedroni, "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, 61, 1999, 653-70.

Language: RATS
Requires: RATS version 4.0
Keywords: unit roots; cointegration; panel data; nonparametric (search for similar items in EconPapers)
Date: 2001-12-31
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