Panel cointegration analysis with xtpedroni
Abstract. In this article, I introduce the new command xtpedroni, which implements
the Pedroni (1999, Oxford Bulletin of Economics and Statistics 61:
653–670; 2004, Econometric Theory 20: 597–625) panel
cointegration test and the Pedroni (2001, Review of Economics and
Statistics 83: 727–731) group-mean panel-dynamic ordinary
least-squares estimator. For nonstationary heterogeneous panels that are long
(large T) and wide (large N), xtpedroni tests for
cointegration among one or more regressors by using seven test statistics under
the null of no cointegration, and it also estimates the cointegrating equation
for each individual as well as the group mean of the panel. The test can
include common time dummies and unbalanced panels.
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Timothy Neal
View all articles with these keywords:
xtpedroni, panel cointegration, panel-dynamic ordinary least squares, PDOLS, cointegration test, panel time series, nonstationary panels
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