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Re: st: Panel test for cointegration


From   Christoph Birkel <christoph.birkel@soziologie.uni-halle.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel test for cointegration
Date   Fri, 24 Aug 2007 17:08:54 +0200

Pedronis cointegration test's (and also some other panel cointegration tests) are implemented in the latest version of Eviews (Eviews6). To my knowledge, there is no panel cointegration test available in Stata (but some panel unit root tests, as mentioned by others; but these are of little help for the purpose of cointegration testing). There is a user-written module -nharvey- for Nyblom/Harveys test for common stochastic trends (see Nyblom, Jukka/Harvey, Andrew, 2000: Tests of Common Stochastic Trends, in: Econometric Theory 162: 176-199), but this is, strictly speaking, not a panel cointegration test.

--
Christoph Birkel, M.A.
Wissenschaftlicher Mitarbeiter
Martin-Luther-Universität Halle-Wittenberg
Institut für Soziologie
D-06099 Halle (Saale)
GERMANY
Tel.: ++ 49 3 45 / 55 24 22 5
Fax.: ++ 49 3 45 / 55 27 14 9 http://www.soziologie.uni-halle.de/birkel/



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