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st: Panel VAR: Unit root tests/Cointegration
From
Michael Rose <[email protected]>
To
[email protected]
Subject
st: Panel VAR: Unit root tests/Cointegration
Date
Mon, 21 Oct 2013 21:37:20 +0200
Dear Statalist,
I'd like to conduct a Pesaran test using xtcsd.ado on a Panel VAR
regression using Ida Love's pvar.ado (available through the World Bank
website).
But xtcsd doesn't like the varlist (so says the error). It seems that
xtcsd only works with panel regression results steeming from xtreg.
xtreg is Stata's build-in Unit Root Test. However they give wrong
results since all tests listed in xtreg assume no cointegration among
the panel units. Therefore the Pesaran test.
But how can I run a Pesaran test (command: xtcsd, pesaran) on the
results of pvar? Does anyone have experience on that topic?
Greetings
Michael
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