Error-correction-based cointegration tests for panel data
Författare
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.
Avdelning/ar
Publiceringsår
2008
Språk
Engelska
Sidor
232-241
Publikation/Tidskrift/Serie
Stata Journal
Volym
8
Issue
2
Dokumenttyp
Artikel i tidskrift
Förlag
StataCorp LP
Ämne
- Economics
Nyckelord
- st0146
- panel cointegration test
- cross-sectional dependence
- common-factor restriction
- xtwest
- health-care expenditures
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1536-867X