English, Article edition: XTWEST: Stata module for testing for cointegration in heterogeneous panels Damiaan Persyn; Joakim Westerlund

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Bookmark: http://trove.nla.gov.au/version/103204
Physical Description
  • code
Language
  • English

Edition details

Title
  • XTWEST: Stata module for testing for cointegration in heterogeneous panels
Author
  • Damiaan Persyn
  • Joakim Westerlund
Physical Description
  • code
Notes
  • The xtwest command implements the four panel cointegration tests developed by Westerlund (2007). The underlying idea is to test for the absence of cointegration by determining whether there exists error correction for individual panel members or for the panel as a whole. 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. The routine will be described in a forthcoming Stata Journal article. The routine relies upon N.J. Cox's -matvsort- routine, which is included in the package.
  • panel cointegration, Westerlund, Common Factor Restriction, Cross-Section Dependence
  • RePEc:boc:bocode:s456941
Language
  • English
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