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Error-correction-based cointegration tests for panel data

Author

Summary, in English

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.

Publishing year

2008

Language

English

Pages

232-241

Publication/Series

Stata Journal

Volume

8

Issue

2

Document type

Journal article

Publisher

StataCorp LP

Topic

  • Economics

Keywords

  • st0146
  • panel cointegration test
  • cross-sectional dependence
  • common-factor restriction
  • xtwest
  • health-care expenditures

Status

Published

ISBN/ISSN/Other

  • ISSN: 1536-867X