Error-Correction–Based Cointegration Tests for Panel Data
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TL;DR
A new Stata command called xtwest is described, which implements the four error-correction–based panel cointegration tests developed by Westerlund (2007), which are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics.
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.