Cited by 774Spatial and Panel Data AnalysisMonetary Policy and Economic ImpactEconomic Growth and Productivity

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Error-Correction–Based Cointegration Tests for Panel Data

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Persyn, Damiaan, Westerlund, Joakim·2008·The Stata Journal: Promoting communications on statistics and Stata

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Abstract

This article describes a new Stata command called xtwest, which implements the four error-correction–based panel cointegration tests developed by Westerlund (2007). 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.

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Testing for Error Correction in Panel Data*
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Authors: Persyn, D., & Westerlund, J.
Affiliations: KU Leuven (BE)
Lund University (SE)
Corresponding author: Persyn, Damiaan
ORCID: Persyn, Damiaan
Westerlund, Joakim
Venue: The Stata Journal: Promoting communications on statistics and Stata
Publisher: SAGE Publications
Published: 2008-06
Volume: 8
Issue: 2
Pages: 232-241
ISSN: 1536-867X (ISSN-L)
1536-8734
DOI: 10.1177/1536867x0800800205
OpenAlex: W2112778351
Cited by: 770
References: 5
Citations by year: 2026: 66 · 2025: 72 · 2024: 75 · 2023: 70 · 2022: 74 · 2021: 62 · 2020: 44 · 2019: 45 · 2018: 28 · 2017: 31 · 2016: 42 · 2015: 32 · 2014: 35 · 2013: 26 · 2012: 33
FWCI: 26.97
Type: journal article
Language: en
Open access: bronze
doi.org
Licence: journals.sagepub.com/page/policies/text-and-data-mining-license (tdm)
Locations: The Stata Journal Promoting communications on statistics and Stata (publishedVersion)
RePEc: Research Papers in Economics (submittedVersion)
AgEcon Search (University of Minnesota, USA) (submittedVersion, cc-by-nc-nd)
Lirias (submittedVersion)
Lund University Publications (Lund University) (submittedVersion)
AgEcon Search (University of Minnesota, USA)
Topics: Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic Growth and Productivity
Keywords: panel cointegration, error correction model, cross-sectional dependence, short-run dynamics, Stata software

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Error-Correction–Based Cointegration Tests for Panel Data

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