XTCCECOINT: Stata module to perform Panel CCE Cointegration Test (Banerjee & Carrion-i-Silvestre, 2017)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtccecoint implements the CADF_P panel cointegration test proposed by Banerjee and Carrion-i-Silvestre (2017). The test assesses whether a set of I(1) variables in a panel are cointegrated, while accounting for cross-section dependence using the Common Correlated Effects (CCE) approach of Pesaran (2006). Unlike tests that require explicit estimation of common factors (e.g., Bai-Ng principal components), this command uses cross-section averages as convenient and robust proxies for the unobserved common factors. No pre-testing for the number of factors is required.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; cross-section dependence; common correlated effects (search for similar items in EconPapers)
Date: 2026-05-12
Note: This module should be installed from within Stata by typing "ssc install xtccecoint". 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/xtccecoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtccecoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtccecoint_display.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtccecoint_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtccecoint_plot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtccecoint_example.do sample do-file (text/plain)

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