XTPEDRONI: Stata module to perform Pedroni's panel cointegration tests and Panel Dynamic OLS estimation

Timothy Neal

Statistical Software Components from Boston College Department of Economics

Abstract: xtpedroni has two functions: First, it allows Stata users to compute Pedroni's (OBES 1999, REStat 2001) seven test statistics under a null of no cointegration in a heterogeneous panel (medium to large N, large T) with one or more nonstationary regressors. These test statistics are panel-v, panel-rho, group-rho, panel-t (non-parametric), group-t (non-parametric), panel-adf (parametric t), and group-adf (parametric t). All test statistics are normalised to be distributed under N(0,1). All of the statistics, save for panel-v, diverge to negative infinity as the p-value converges to 0. Second, it computes Pedroni's group mean Panel Dynamic Ordinary Least Squares estimates. Very briefly, it extends the Dynamic OLS technique of estimating the cointegrating vector in a single equation to panel time series data (medium to large N, large T). Dynamic OLS involves adding lags and leads of the regressors to eliminate feedback effects and endogeneity. In Panel Dynamic OLS, a DOLS regression is conducted for each individual, and the results are combined for the entire panel following Pedroni's group mean approach. Variables must exhibit cointegration to be used here.

Language: Stata
Requires: Stata version 11
Keywords: Pedroni; panel cointegration; dynamic OLS (search for similar items in EconPapers)
Date: 2014-10-11
Note: This module should be installed from within Stata by typing "ssc install xtpedroni". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtpedroni.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpedroni.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pedronidata.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/p/pedronireplication.do sample code (text/plain)

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