Error–correction–based cointegration tests for panel data
Damiaan Persyn
LICOS
Katholieke Universiteit Leuven
Leuven, Belgium
[email protected]
|
Joakim Westerlund
Department of Economics
Lund University
Lund, Sweden
|
Abstract. 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.
View all articles by these authors:
Damiaan Persyn, Joakim Westerlund
View all articles with these keywords:
xtwest, panel cointegration test, common-factor restriction, cross-sectional dependence, health-care expenditures
Download citation: BibTeX RIS
Download citation and abstract: BibTeX RIS
|
