Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: st : Pedroni Test
From
"Joao Ricardo F. Lima" <[email protected]>
To
[email protected]
Subject
Re: st: st : Pedroni Test
Date
Tue, 18 May 2010 19:27:30 -0300
Ananou,
findit -panel cointegration-
---------------------------------------------------------------------------------------------------------------------------------------------------------
search for panel cointegration
(manual:
[R] search)
---------------------------------------------------------------------------------------------------------------------------------------------------------
Keywords: panel cointegration
Search: (1) Official help files, FAQs, Examples, SJs, and STBs
(2) Web resources from Stata and from other users
Search of official help files, FAQs, Examples, SJs, and STBs
SJ-8-2 st0146 . . Error-correction-based cointegration tests for panel data
(help xtwest if installed) . . . . . . . D. Persyn and J. Westerlund
Q2/08 SJ 8(2):232--241
implements the four error-correction-based panel
cointegration tests developed by Westerlund
SJ-7-2 st0125 . . . . . . . Estimation of nonstationary heterogeneous panels
(help xtpmg if installed) . . . E. F. Blackburne, III and M. W. Frank
Q2/07 SJ 7(2):197--208
estimates nonstationary heterogeneous panels in which the
number of groups and number of time-series observations
are both large
Web resources from Stata and other users
(contacting http://www.stata.com)
4 packages found (Stata Journal and STB listed first)
-----------------------------------------------------
st0146 from http://www.stata-journal.com/software/sj8-2
SJ8-2 st0146. Error Correction Based Cointegration Tests... / Error
Correction Based Cointegration Tests for Panel Data / by Damiaan Persyn,
LICOS, Centre for Institutions and / Economic Performance, KULeuven,
Belgium / Joakim Westerlund, Department of Economics, / Lund University,
nharvey from http://fmwww.bc.edu/RePEc/bocode/n
'NHARVEY': module to perform Nyblom-Harvey panel test of common stochastic
trends / nharvey estimates one form of the test of common stochastic /
trends developed by Nyblom and Harvey (NH, 2000). The test is of / the
validity of a specified value of the rank of the covariance / matrix of
xtpmg from http://fmwww.bc.edu/RePEc/bocode/x
'XTPMG': module for estimation of nonstationary heterogeneous panels / We
introduce a new Stata command, xtpmg, for estimating / nonstationary
heterogeneous panels in which the number of groups / and number of
time-series observations are both large. Based on / recent advances in the
xtwest from http://fmwww.bc.edu/RePEc/bocode/x
'XTWEST': module for testing for cointegration in heterogeneous panels /
The xtwest command implements the four panel cointegration / tests
developed by Westerlund (2007). The underlying idea is to / test for the
absence of cointegration by determining whether / there exists error
See if -xtwest- can help you:
---------------------------------------------------------------------------------------------------------------------------------------------------------
package xtwest from http://fmwww.bc.edu/RePEc/bocode/x
---------------------------------------------------------------------------------------------------------------------------------------------------------
TITLE
'XTWEST': module for testing for cointegration in heterogeneous panels
DESCRIPTION/AUTHOR(S)
The xtwest command implements the four panel cointegration
tests developed by Westerlund (2007). The underlying idea is to
test for the absence of cointegration by determining whether
there exists error correction for individual panel members or
for the panel as a whole. The tests are general enough to allow
for a large degree of heterogeneity, both in the long-run
cointegrating relationship and in the short-run dynamics, and
dependence within as well as across the cross-sectional units.
The routine will be described in a forthcoming Stata Journal
article. The routine relies upon N.J. Cox's -matvsort- routine,
which is included in the package.
KW: panel cointegration
KW: Westerlund
KW: Common Factor Restriction
KW: Cross-Section Dependence
Requires: Stata version 8.0
Distribution-Date: 20080611
Author: Damiaan Persyn, LICOS, Katholieke Universiteit Leuven
Support: email [email protected]
Author: Joakim Westerlund, Lund University
Support: email [email protected]
HTH,
Joao Lima
2010/5/18 Ananou F. Sodjiné <[email protected]>:
> Hello all,
> I am trying to run panel cointegration tests in a heterogeneous panel. Is
> there
> anything to help me run the Pedroni tests? Or any other test existing I can
> use to do the same test on Stata?
>
> Thanks,
>
> ______________________________
>
> Ananou F. Sodjiné
> Elève Ingénieur Statisticien
> Tel : (+221) 778008432
> BP : 25974
> Dakar
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +558387264913
Skype: joao_ricardo_lima
----------------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/