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Re: st: xtwest command
From
Markus Eberhardt <[email protected]>
To
[email protected]
Subject
Re: st: xtwest command
Date
Sat, 26 Mar 2011 09:58:43 +0000
Check the helpfile. It spells out the underlying model and how to
interpret the results. The short answer is that no cointegration
cannot be rejected, whether you assume a homogeneous or heterogeneous
model. Note that this type of error correction/cointegration test
struggles when T is short.
Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford
web: http://sites.google.com/site/medevecon/home
email: [email protected]
twitter: http://twitter.com/sjoh2052
mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England
On 26 March 2011 09:49, [email protected]
<[email protected]> wrote:
> Dear All,
> I'm working with a panel dataset. Could anyone help me in
> interpreting the four
> statistics that Stata give after the xtwest command (Westerlund ECM panel
> cointegration tests)?
> Here, there my results:
>
>
> Results for H0: no cointegration
> With 20 series and 1 covariate
>
> -----------------------------------------------+
> Statistic | Value | Z-value | P-value |
> -----------+-----------+-----------+-----------|
> Gt | -1.479 | 4.884 | 1.000 |
> Ga | -12.464 | -0.380 | 0.352 |
> Pt | -5.922 | 4.108 | 1.000 |
> Pa | -10.268 | -0.984 | 0.163 |
> -----------------------------------------------+
>
> How I should consider the Gt, Ga, Pt and Pa statistics?
>
> Best Regards,
> *
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>
*
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