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st: RE: Panel Cointegration


From   "Gustavo Sanchez" <gsanchez@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panel Cointegration
Date   Tue, 10 Aug 2004 15:40:04 -0500

Justin,

There is a user-written program called -nharvey- that performs the
Nyblom-Harvey test for cointegration in panel data.  You can install
it by typing in

    ssc install nharvey
    help nharvey

You may also be interested in the user-written commands -ipshin-,
-madfuller-, -levinlin-, and -hadrilm-, all of which perform unit
root tests with panel data.  They can also be installed using the
-ssc install- command.

I am not aware of any user-written command that performs the methodology
in Pedroni(1997).

Gustavo
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of jdubas@nd.edu
Sent: Tuesday, August 10, 2004 1:43 PM
To: STATA list
Subject: st: Panel Cointegration


Hello,
Are there any -ado files that address panel cointegration tests, such as
Pedroni, Levin & Lin, Harris & Tzavalis, Maddala & Kim?  Or anything dealing
with DOLS(Dynamic OLS) or FMOLS (Fully Modified OLS) estimation?

Thanks
Justin




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