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Re: st: Panel VAR: Unit root tests/Cointegration


From   Michael Rose <michael.q.rose@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel VAR: Unit root tests/Cointegration
Date   Fri, 25 Oct 2013 16:26:29 +0200

Dear everyone,

theoretically this could work: Post the resulting matrices and then do the tests.

But I don't know exactly which matrix to post. Is it the residuals correlation matrix? If so, how do I post a matrix in stata?

Thank you very much in advance!
Michael

On 10/21/2013 09:37 PM, Michael Rose wrote:
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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