@PANCOINT is a procedure for cointegration tests in heterogeneous panels with multiple regressors ("Pedroni tests"). From Pedroni (1999) "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, 61, 653-70 and Pedroni(2004), "Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Econometric Theory, 20, 597-625. Compared with earlier versions, this adds the choice of DET=TREND, the CRIT option to select the method for choosing auxiliary lag length, the SMPL, PRINT and TITLE options.
An example of its use is Pedroni JAE 2007.
pancoint.src
Detailed description
PANCOINT—testing for cointegration in panel data sets
PANCOINT—testing for cointegration in panel data sets
Last bumped by TomDoan on Thu Apr 12, 2018 9:06 pm.