PANCOINT - testing for cointegration in panel data sets
Posted: Sun May 06, 2012 8:18 pmThis is a revised 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.
@pancoint( options ) start end
# list of variables (list dependent variable first)
Options
DET=NONE/[CONSTANT]/TREND
TDUM/[NOTDUM] Use TDUM to subtract out common time effects
SMPL=Dummy series with 0's in entries to skip [include all]
UNWEIGHTED/[NOUNWEIGHTED] Use UNWEIGHTED for unweighted statistics
LAGS=(maximum number of) augmenting lags in the ADF regressions [Schwert's]
CRIT=[FIXED]/GTOS/AIC/BIC/HQ
Criterion to use to select the number of lags. This is done on an individual by individual basis. CRIT=FIXED uses the input LAGS on each. CRIT=GTOS starts with LAGS and drops lags until it hits one which has the marginal t with significance level set by the SLSTAY option. CRIT=AIC/BIC/HQ select the lag length using AIC, BIC (or SBC) or HQ.
SLSTAY=significance level to keep lag in model with METHOD=GTOS [.10]
pancoint.src- Procedure file - requires RATS 8.0 or later
- (18.58 KiB) Downloaded 197 times
@pancoint( options ) start end
# list of variables (list dependent variable first)
Options
DET=NONE/[CONSTANT]/TREND
TDUM/[NOTDUM] Use TDUM to subtract out common time effects
SMPL=Dummy series with 0's in entries to skip [include all]
UNWEIGHTED/[NOUNWEIGHTED] Use UNWEIGHTED for unweighted statistics
LAGS=(maximum number of) augmenting lags in the ADF regressions [Schwert's]
CRIT=[FIXED]/GTOS/AIC/BIC/HQ
Criterion to use to select the number of lags. This is done on an individual by individual basis. CRIT=FIXED uses the input LAGS on each. CRIT=GTOS starts with LAGS and drops lags until it hits one which has the marginal t with significance level set by the SLSTAY option. CRIT=AIC/BIC/HQ select the lag length using AIC, BIC (or SBC) or HQ.
SLSTAY=significance level to keep lag in model with METHOD=GTOS [.10]