Re: st: Panel test for cointegration

[Christoph Birkel <christoph.birkel@soziologie.uni-halle.de>]

Pedronis cointegration test's (and also some other panel cointegration 
tests) are implemented in the latest version of  Eviews (Eviews6). To my 
knowledge, there is no panel cointegration test available in Stata (but 
some panel unit root tests, as mentioned by others; but these are of 
little help for the purpose of cointegration testing). There is a 
user-written module -nharvey- for Nyblom/Harveys test for common 
stochastic trends (see Nyblom, Jukka/Harvey, Andrew, 2000: Tests of 
Common Stochastic Trends, in: Econometric Theory 162: 176-199), but this 
is, strictly speaking, not a panel cointegration test.

--
Christoph Birkel, M.A.
Wissenschaftlicher Mitarbeiter
Martin-Luther-Universit�t Halle-Wittenberg
Institut f�r Soziologie
D-06099 Halle (Saale)
GERMANY
Tel.: ++ 49 3 45 / 55 24 22 5
Fax.: ++ 49 3 45 / 55 27 14 9 
http://www.soziologie.uni-halle.de/birkel/



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