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Error-correction-based cointegration tests for panel data
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DOI：10.1177/1536867X0800800205.png)
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摘要
En 中文
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.
Keyword:
st0146
xtwest
panel cointegration test
common-factor restriction
cross-sectional dependence
health-care expenditures
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期刊
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2.4
论文数:
1.2K
被引数:
8.4K
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