XTNONLINCOINT: Stata module providing nonlinear panel cointegration tests robust to structural breaks and cross-sectional dependence

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtnonlincoint provides two nonlinear panel cointegration tests that are robust to cross-sectional dependence. The subcommand "ecm" implements the nonlinear error-correction based test of Omay, Emirmahmutoglu and Denaux (2017, Economics Letters 157, 1-4, doi:10.1016/j.econlet.2017.05.017), forming the Abadir-Distaso modified Wald group-mean statistic with a sieve bootstrap. The subcommand "fffff" implements the fractional frequency flexible Fourier form test of Olayeni, Tiwari and Wohar (2021, Applied Economics Letters 28, 482-486, doi:10.1080/13504851.2020.1761526), combining KSS nonlinearity, smooth Fourier structural breaks selected on a fractional-frequency grid, a stationary bootstrap and the Sequential Panel Selection Method. Both subcommands print journal-style tables and optional plots, and return their results in r().

Language: Stata
Requires: Stata version 14
Keywords: panel data; nonlinear cointegration; cross-sectional dependence (search for similar items in EconPapers)
Date: 2026-06-22
Note: This module should be installed from within Stata by typing "ssc install xtnonlincoint". 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/xtnonlincoint.ado
http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_ecm.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_example.do
http://fmwww.bc.edu/repec/bocode/x/xtnonlincoint_fffff.sthlp

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