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Re: st: any panel cointegration technique available in Stata?

From   David Jacobs <[email protected]>
To   [email protected]
Subject   Re: st: any panel cointegration technique available in Stata?
Date   Thu, 16 Jun 2005 14:54:04 -0400

I haven't gone thru the Stata time-series manual carefully, but I don't think that this is available in Stata. The only program I know of that has panel unit root tests in EViews. I don't think that LImdep has this.

Incidentally, when William Greene came thru our campus he implied that there isn't much of a consensus panel unit root tests and cointegration, so maybe it isn't necessary yet to obsess about this.

Dave Jacobs

At 05:02 PM 6/16/2005 +0100, you wrote:

Dear All,

Are there any techniques for estimating a cointegrating relationship on panel data implemented in Stata?
The most recent update on similar topic was the introduction of -nharvey-, but this is not really about cointegration between several variables. Can anyone help, please?
Many thanks,
N Zubanov
PhD student
The University of Birmingham

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