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Re: st: Panel test for cointegration
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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