st: xtunitroot xtwest tests appropriate for cointegration

[Alex Olssen <alex.olssen@gmail.com>]

Dear Statalist,

I am looking to test cointegration in a dynamic demand system setting.
 I have several questions.

1.  Are the xtunitroot root tests appropriate for cointegration in
general?  I ask this because it is my understanding that the critical
values from traditional univariate time series unit root tests must be
adjusted when testing cointegration depending on the number of
regressors included.  There doesn't seem to be any way to make such an
adjustment within xtunitroot.  Does this mean these methods can't be
used for cointegration?

2.  Does anybody know if xtwest can be used in settings where there
are multiple error correction like terms per equation.  In Estimation
and Hypothesis Testing in Dynamic Singular Equation Systems by
Anderson and Blundell, Econometrica 1982, the authors propose a
dynamic model for singular systems.  In an N equation singular system
each equation includes N-1 error correction like terms.  Can xtwest
still be used here?

If anybody happens to know about this and could help me out I would
much appreciate it.

Kind regards,

Alex Olssen
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