XTWEST: Stata module for testing for cointegration in heterogeneous panels

Damiaan Persyn

Statistical Software Components from Boston College Department of Economics

Abstract: The xtwest command implements the four panel cointegration tests developed by Westerlund (2007). The underlying idea is to test for the absence of cointegration by determining whether there exists error correction for individual panel members or for the panel as a whole. 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. The routine is described in Persyn and Westerlund (2008), Stata Journal 8 (2), 232-241. The routine relies upon N.J. Cox's -matvsort- routine, which is included in the package.

Language: Stata
Requires: Stata version 8.0
Keywords: panel cointegration test; Westerlund; Common Factor Restriction; Cross-Section Dependence; International Health Care Expenditures (search for similar items in EconPapers)
Date: 2008-06-11, Revised 2010-06-29
Note: This module should be installed from within Stata by typing "ssc install xtwest". 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.
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Citations: View citations in EconPapers (3)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtwest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtwest.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtwestdata.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/m/matvsort.ado program code (text/plain)

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