XTCADFCOINT: Stata module to perform Panel CADF cointegration test with structural breaks and cross-section dependence

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtcadfcoint implements the panel cointegration test proposed by Banerjee and Carrion-i-Silvestre (2025, Journal of Business & Economic Statistics). The test extends the Cross-sectionally Augmented IPS (CIPS) framework to test the null hypothesis of no cointegration in heterogeneous panels, allowing for Cross-section dependence via Common Correlated Effects (CCE); Multiple structural breaks (0, 1, or 2) with endogenous break dates; Five deterministic specifications (constant, trend, level shifts, level and slope shifts); Breaks in cointegrating vectors and factor loadings; and Automatic lag selection (AIC, BIC, MAIC, MBIC)

Language: Stata
Requires: Stata version 14
Keywords: panel cointegration; CIPS; CCE; structural breaks (search for similar items in EconPapers)
Date: 2026-02-15
Note: This module should be installed from within Stata by typing "ssc install xtcadfcoint". 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/xtcadfcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcadfcoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcadfcoint_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcadfcoint_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcadfcoint_makedata.do sample do-file (text/plain)

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