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Re: st: st : Pedroni Test


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: st : Pedroni Test
Date   Tue, 18 May 2010 19:27:30 -0300

Ananou,

findit -panel cointegration-

---------------------------------------------------------------------------------------------------------------------------------------------------------
search for panel cointegration
                                                             (manual:
[R] search)
---------------------------------------------------------------------------------------------------------------------------------------------------------

        Keywords:  panel cointegration
          Search:  (1) Official help files, FAQs, Examples, SJs, and STBs
                   (2) Web resources from Stata and from other users


Search of official help files, FAQs, Examples, SJs, and STBs

SJ-8-2  st0146  . .  Error-correction-based cointegration tests for panel data
        (help xtwest if installed)  . . . . . . .  D. Persyn and J. Westerlund
        Q2/08   SJ 8(2):232--241
        implements the four error-correction-based panel
        cointegration tests developed by Westerlund

SJ-7-2  st0125  . . . . . . . Estimation of nonstationary heterogeneous panels
        (help xtpmg if installed) . . .  E. F. Blackburne, III and M. W. Frank
        Q2/07   SJ 7(2):197--208
        estimates nonstationary heterogeneous panels in which the
        number of groups and number of time-series observations
        are both large

Web resources from Stata and other users

(contacting http://www.stata.com)

4 packages found (Stata Journal and STB listed first)
-----------------------------------------------------

st0146 from http://www.stata-journal.com/software/sj8-2
    SJ8-2 st0146.  Error Correction Based Cointegration Tests... / Error
    Correction Based Cointegration Tests for Panel Data / by Damiaan Persyn,
    LICOS, Centre for Institutions and / Economic Performance, KULeuven,
    Belgium / Joakim Westerlund, Department of Economics, / Lund University,

nharvey from http://fmwww.bc.edu/RePEc/bocode/n
    'NHARVEY': module to perform Nyblom-Harvey panel test of common stochastic
    trends / nharvey estimates one form of the test of common stochastic /
    trends developed by Nyblom and Harvey (NH, 2000). The test is of / the
    validity of a specified value of the rank of the covariance / matrix of

xtpmg from http://fmwww.bc.edu/RePEc/bocode/x
    'XTPMG': module for estimation of nonstationary heterogeneous panels / We
    introduce a new Stata command, xtpmg, for estimating / nonstationary
    heterogeneous panels in which the number of groups / and number of
    time-series observations are both large. Based on / recent advances in the

xtwest from http://fmwww.bc.edu/RePEc/bocode/x
    'XTWEST': module for testing for cointegration in heterogeneous panels /
    The xtwest command implements the four panel cointegration / tests
    developed by Westerlund (2007). The underlying idea is to / test for the
    absence of cointegration by determining whether / there exists error

See if -xtwest- can help you:

---------------------------------------------------------------------------------------------------------------------------------------------------------
package xtwest from http://fmwww.bc.edu/RePEc/bocode/x
---------------------------------------------------------------------------------------------------------------------------------------------------------

TITLE
      'XTWEST': module for testing for cointegration in heterogeneous panels

DESCRIPTION/AUTHOR(S)

        The xtwest command implements the four panel cointegration
      tests developed by  Westerlund (2007). The underlying idea is to
      test for the absence of cointegration by  determining whether
      there exists error correction for individual panel members or
      for the panel as a whole. 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.
      The routine will be described in a forthcoming Stata Journal
      article. The routine relies  upon N.J. Cox's -matvsort- routine,
      which is included in the package.

      KW: panel cointegration
      KW: Westerlund
      KW:  Common Factor Restriction
      KW: Cross-Section Dependence

      Requires: Stata version 8.0

      Distribution-Date: 20080611

      Author: Damiaan Persyn, LICOS, Katholieke Universiteit Leuven
      Support: email damiaan.persyn@econ.kuleuven.be

      Author:  Joakim Westerlund, Lund University
      Support: email joakim.westerlund@nek.lu.se


HTH,

Joao Lima

2010/5/18 Ananou F. Sodjiné <anofos2@yahoo.fr>:
> Hello all,
> I am trying to run panel cointegration tests in a heterogeneous panel.  Is
> there
> anything to help me run the Pedroni tests? Or any other test existing I can
> use to do the same test on Stata?
>
> Thanks,
>
> ______________________________
>
> Ananou F. Sodjiné
> Elève Ingénieur Statisticien
> Tel : (+221) 778008432
> BP : 25974
> Dakar
>
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +558387264913
Skype: joao_ricardo_lima
----------------------------------------

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
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*   http://www.ats.ucla.edu/stat/stata/


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