st: Re: Panel test for cointegration

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

Marta,

It is well-documented in the FAQ of Statalist that you should provide 
full-references, such as Martoni (2007) ``Tests for everyone" Journal of 
Applied Democratician, Vol 45. Also you should start your search 
using -findit- command. In particular typing: findit unit root, you will get 
many source for that. Try -xtfisher- for your case.

Rodrigo.
PS: Minor point, the software is Stata not STATA.


----- Original Message ----- 
From: <M.Sanchez-Sache@lse.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, August 23, 2007 5:21 PM
Subject: st: Panel test for cointegration



> Dear all
>
> I'm using panel data (42 years and 9 sectors) and the panel test for units 
> roots don't reject the hypotheses that my regressors have a unit root. 
> Therefore, I want to test for cointegration among my variables (the 
> dependent variable and 2 regressors). Johansen test is the test I would 
> use for time series and, in fact, I used it for my panel data. However, I 
> know that the specific cointegration tests for panel data (as Pedroni 
> (1997, 1999, 2001) or Maddala and Wu (1999)) have been shown to be more 
> powerful than the time series analog (Johansen or Augmented 
> Engle-Granger). Do you know if there is a command in STATA to run Pedroni 
> or Maddala and Wu tests?
>
> Thanks in advance.
>
> Best,
>
> Marta.
>
>
>
> Please access the attached hyperlink for an important electronic 
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