Justin,
There is a user-written program called -nharvey- that performs the
Nyblom-Harvey test for cointegration in panel data. You can install
it by typing in
ssc install nharvey
help nharvey
You may also be interested in the user-written commands -ipshin-,
-madfuller-, -levinlin-, and -hadrilm-, all of which perform unit
root tests with panel data. They can also be installed using the
-ssc install- command.
I am not aware of any user-written command that performs the methodology
in Pedroni(1997).
Gustavo
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of [email protected]
Sent: Tuesday, August 10, 2004 1:43 PM
To: STATA list
Subject: st: Panel Cointegration
Hello,
Are there any -ado files that address panel cointegration tests, such as
Pedroni, Levin & Lin, Harris & Tzavalis, Maddala & Kim? Or anything dealing
with DOLS(Dynamic OLS) or FMOLS (Fully Modified OLS) estimation?
Thanks
Justin
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