XTMVARDLURT_MULTIVARIATE: Stata module to perform panel multivariate ARDL unit root and cointegration test with cross-sectional dependence testing

Yusuf Toyin Yusuf ()
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Yusuf Toyin Yusuf: Kwara State University

Statistical Software Components from Boston College Department of Economics

Abstract: For each unit the command estimates the multivariate ARDL unit root regression of Sam, McNown, Goh and Goh (2024), D.y = c + [trend] + pi L.y + delta'L.x + sum phi_i LiD.y + sum Gamma_j'LjD.x + omega'D.x + u, and computes the t-statistic on pi (H0: unit root; lower tail) and the F-statistic on delta (H0: no level relationship; upper tail; in Case 4 the trend is included). The k covariates are unrestricted in number. The unit statistics are combined into the panel statistics t-bar, F-bar: group means of the unit statistics; Fisher: -2 sum ln(p_i) of the unit bootstrap p-values (Maddala-Wu type); Inverse-normal: sum Phi^-1(p_i)/sqrt(N) (Choi type). The four-case framework is applied at the panel level (group-mean, Fisher and inverse-normal versions) and at the unit level: I = neither rejects (unit root, no cointegration); II = t rejects only (stationary); III = F rejects only (degenerate, possibly I(2)); IV = both reject (cointegration).

Language: Stata
Requires: Stata version 14
Keywords: ARDL; panel data unit root; cointegration (search for similar items in EconPapers)
Date: 2026-10-04
Note: This module should be installed from within Stata by typing "ssc install xtmvardlurt_multivariate". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate.ado
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate.sthlp
http://fmwww.bc.edu/repec/bocode/_/_xtmvu_disp.ado
http://fmwww.bc.edu/repec/bocode/_/_xtmvu_load.ado
http://fmwww.bc.edu/repec/bocode/_/_xtmvu_mata.ado
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate_example.do
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate_expected.txt
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate_graph.ado
http://fmwww.bc.edu/repec/bocode/x/xtmvardlurt_multivariate_testdata.csv

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