XTHKRCOINT: Stata module to perform Hadri-Kurozumi-Rao panel cointegration test with the null of cointegration

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xthkrcoint implements the panel cointegration tests of Hadri, Kurozumi and Rao (2015, Econometrics Journal). The distinctive features of the test are: 1. The null hypothesis is cointegration for every unit; the alternative is that at least one unit is not cointegrated. This is the natural null when the researcher wishes to establish a long-run relationship, and it complements the more common no-cointegration-null tests (xtcointtest). 2. The asymptotics hold with N fixed and T large, so the test suits typical macroeconomic and financial panels where N is small relative to T. No estimation of the number of common factors is required. 3. Arbitrary cross-section dependence (weak or strong, including common factors and cross-unit cointegration) is mopped up nonparametrically through the long-run variance of the pooled autocovariances, in the spirit of Driscoll-Kraay. The pooled statistic is therefore asymptotically standard normal and no bootstrap critical values are needed. 4. Serial correlation is handled by dynamic OLS (DOLS) — the cointegrating regression is augmented with leads and lags of Dx — and a bias correction removes the finite-sample negative bias of the autocovariance statistic (which otherwise makes the test conservative). The command reports the pooled statistic S{sub:K} (uncorrected) and S~{sub:K} (bias-corrected), each with a one-sided (upper-tail) p-value, a decision at the 5% level, and a per-unit breakdown showing which cross-sections drive a rejection. With graph it draws a two-panel diagnostics dashboard.

Language: Stata
Requires: Stata version 14
Keywords: panel data; unit root tests; cointegration (search for similar items in EconPapers)
Date: 2026-07-08
Note: This module should be installed from within Stata by typing "ssc install xthkrcoint". 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/xthkrcoint.ado
http://fmwww.bc.edu/repec/bocode/x/xthkrcoint.sthlp
http://fmwww.bc.edu/repec/bocode/x/xthkrcoint_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/x/xthkrcoint_example.do

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