The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Error-Correction–Based Cointegration Tests for Panel Data
Open accessAbstract
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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Citations
Cites
Testing for Error Correction in Panel Data*
Westerlund, J. (2007) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2007.00477.x · Cited by 6,113
Self-citationAutomatic Lag Selection in Covariance Matrix Estimation
Newey, W., & West, K. (1994) · The Review of Economic Studies · doi:10.2307/2297912 · Cited by 3,546
Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
Banerjee, A., Dolado, J. J., & Mestre, R. (1998) · Journal of Time Series Analysis · doi:10.1111/1467-9892.00091 · Cited by 2,330
THE POWER OF COINTEGRATION TESTS
Kremers, J., Ericsson, N. R., & Dolado, J. J. (1992) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1992.tb00005.x · Cited by 1,331
Bootstrap unit root tests in panels with cross-sectional dependency
Chang, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00214-8 · Cited by 368
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Charfeddine, L., & Kahia, M. (2019) · Renewable Energy · doi:10.1016/j.renene.2019.01.010 · Cited by 1,012
Sharif, A., Raza, S. A., Öztürk, İ., & Afshan, S. (2018) · Renewable Energy · doi:10.1016/j.renene.2018.10.052 · Cited by 746
Estimating Panel Time-Series Models with Heterogeneous Slopes
Eberhardt, M. (2012) · The Stata Journal Promoting communications on statistics and Stata · doi:10.1177/1536867x1201200105 · Cited by 628
Renewable energy consumption and economic growth nexus: Evidence from a threshold model
Chen, C., Pinar, M., & Stengos, T. (2020) · Energy Policy · doi:10.1016/j.enpol.2020.111295 · Cited by 487
Munir, Q., Lean, H. H., & Smyth, R. (2019) · Energy Economics · doi:10.1016/j.eneco.2019.104571 · Cited by 438
Metadata
- Authors
- Persyn, D., & Westerlund, J.
- Affiliations
- KU Leuven (BE)
- Lund University (SE)
- Corresponding author
- Persyn, Damiaan
- 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
- 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
- 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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