Error-correction–based cointegration tests for panel data

This article describes a new Stata command called xtwest, which implements the four error-correction – based panel cointegration tests developed by Westerlund (2007). The tests are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics, and dependence within as well as across the cross-sectional units. Copyright 2008 by StataCorp LP.

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Year of publication:	2008
Authors:	Persyn, Damiaan ; Westerlund, Joakim
Published in:	Stata Journal. - StataCorp LP. - Vol. 8.2008, 2, p. 232-241
Publisher:	StataCorp LP
Subject:	xtwest \| panel cointegration test \| common-factor restriction \| cross-sectional dependence \| health-care expenditures

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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