XTBOUNDPANICO: Stata module to calculate bounds and PANICO testing for cointegration in panels with common factors

Roudane, Merwan

XTBOUNDPANICO: Stata module to calculate bounds and PANICO testing for cointegration in panels with common factors

Statistical Software Components from Boston College Department of Economics

Abstract: xtboundpanico tests the null hypothesis of a panel spurious relationship against panel cointegration when the cross-section dependence is generated by unobserved common factors whose number and order of integration are unknown. It implements Banerjee and Carrion-i-Silvestre (2026, University of Canterbury Working Paper 8/2026).

Language: Stata
Requires: Stata version 14
Keywords: panel data; cointegration; cross-section dependence (search for similar items in EconPapers)
Date: 2026-10-29
Note: This module should be installed from within Stata by typing "ssc install xtboundpanico". 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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