XTCOINTREG: Stata module for panel data generalization of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical correlation regression methods

Ravshanbek Khodzhimatov

Statistical Software Components from Boston College Department of Economics

Abstract: xtcointreg generalizes Qunyong Wang and Na Wu's cointreg command to panel data. It does Panel Dynamic OLS (PDOLS) and Panel Fully Modified OLS (FMOLS). The main option est and a new option full is included in this documentation. For other questions consult the original cointreg's documentation.

Language: Stata
Requires: Stata version 11 and cointreg from SJ 12:3
Keywords: cointegration; Pedroni; FMOLS; DOLS; canonical correlations (search for similar items in EconPapers)
Date: 2018-01-03
Note: This module should be installed from within Stata by typing "ssc install xtcointreg". 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/xtcointreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcointreg.sthlp help file (text/plain)

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