XTDHCOINT: Stata module to perform Durbin-Hausman panel cointegration tests

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtdhcoint implements the Durbin-Hausman panel cointegration tests proposed by Westerlund (2008, Journal of Applied Econometrics, 23: 193-233). The command tests the null hypothesis of no cointegration against the alternative of cointegration in panel data, allowing for cross-sectional dependence through common factors.

Language: Stata
Requires: Stata version 14
Keywords: panel cointegration; Durbin; Hausman (search for similar items in EconPapers)
Date: 2026-02-11
Note: This module should be installed from within Stata by typing "ssc install xtdhcoint". 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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http://fmwww.bc.edu/repec/bocode/x/xtdhcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdhcoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdhcoint_examples.do sample do-file (text/plain)
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