Error-correction-based cointegration tests for panel data

被引：425

作者：

Persyn, Damiaan ^{[1
]}

Westerlund, Joakim ^{[2
]}

机构：

[1] Katholieke Univ Leuven, LICOS, Louvain, Belgium

[2] Lund Univ, Dept Econ, Lund, Sweden

来源：

STATA JOURNAL | 2008年 / 8卷 / 02期

关键词：

st0146; xtwest; panel cointegration test; common-factor restriction; cross-sectional dependence; health-care expenditures;

D O I：

10.1177/1536867X0800800205

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：232 / 241

页数：10

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