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Error-correction-based cointegration tests for panel data

Författare:
Publiceringsår: 2008
Språk: Engelska
Sidor: 232-241
Publikation/Tidskrift/Serie: Stata Journal
Volym: 8
Nummer: 2
Dokumenttyp: Artikel
Förlag: StataCorp LP

Sammanfattning

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.

Disputation

Nyckelord

  • Mathematics and Statistics
  • st0146
  • panel cointegration test
  • cross-sectional dependence
  • common-factor restriction
  • xtwest
  • health-care expenditures

Övrigt

Published
Yes
  • ISSN: 1536-867X

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