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st: Looking for panel cointegration ado with cross section dependence


From   Felix Wellschmied <Nasdinator@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Looking for panel cointegration ado with cross section dependence
Date   Mon, 28 Apr 2008 22:25:09 +0200

Hi all,

I want to estimate a price and wage setting curve in stata using system panel cointegration methods but I cannot find any ado. 
I have the -xtpmg- ado but that allows only for residual based approaches. However, I need system approaches allowing for more than one cointegration vector and allowing for cross sectional dependence. Further I need an ado that tests for the rank of the cointegration matrix. 
Examples for the former are Groen and Kleibergen (2003), Breitung (2005), Pesaran, Schuermann and Weiner (2004), Dees et al.  (2005) and Larsson and Lyhagen (1999)  
An example for the latter one is Larsson et al. (2001) or Breitung (2005)

The only thing I found is a command called -xtwest- which uses the methods by Westerlund
See: http://www.econ.kuleuven.be/public/ndcalb5/xtwest.pdf
However, I cannot find it anywhere to download it seems not yet to be published. 

Has anyone any ideas?
Already an ado that allows for several cointegration relationships but no cross section dependence would be of great help. Also an ado that allows for corss sectional dependence but only one vector would be of some use. 

Thanks a lot to all

Felix


References:
Breitung, J. (2005) A Parametric Approach to the Estimation of Cointegration Vectors in Panel Data, Econometric Reviews, 151-174
Dees, S. di Mauro, F., Pesaran, M. and Smith, L. (2005)Exploring the international links of the EUro area. A global VAR analysis, CESinfo Working paper No. 1425
Groen, J. and Kleinbergen, F. (2003), Likelihood-based cointegration analysis in panels of Vector Error-Correction models, Journal of Business and Economics statistics 21, 295-318
Larsson, R., Lyhagen, J. and Lothgren, M. (2001) Likelihood-based Cointegration tests in Heterogenous Panels, Econometrics Journal 4, 109-142
Larsson, R. and Lyhagen, J. (1999) Likelihood-based inference in multivariate panel cointegration models. Working paper series in Economics and Finance
Pesaran, M., Schuermann, T. and Weiner, S. (2004) Modelling regional interdependencies using a globar error-correction macroeconometric model, Journal of Business and Economic STatistics, 22, 129-162
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