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.
Department/s
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