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Panel cointegration Test
Westerlund(2007) and Westerlund(2008) 面板协整之误差修正技术协整检验，为网友消除面板协整之痛苦，带来迅速简洁之快乐。源程序和说明下载见后。运用下载包中的数据，可以获得如下演示结果：
. xtwest loghex loggdp, westerlund constant trend lags(1 3) leads(0 3) lrwindow(3)
Calculating Westerlund ECM panel
Results for H0: no cointegration
With 20 ries and 1 covariate
Average AIC lected lag length: 2.8
Average AIC lected lead length: 1.65
Statistic Value Z-value P-value
环保英语作文
Gt -4.082 -9.613 0.000
Ga -27.702 -10.626 0.000
Pt -12.969 -4.100 0.000
Pa -22.470 -10.119 0.000
. xtwest loghex loggdp, westerlund constant trend lags(1) leads(1) lrwindow(3) bootstrap(100)
Bootstrapping critical values
Calculating Westerlund ECM panel
Results for H0: no cointegration
With 20 ries and 1 covariate
Statistic Value Z-value P-value Robust P-value
Gt -3.150 -4.424 0.000 0.050
Ga -31.274 -13.027 0.000 0.000
Pt -13.809 -5.079 0.000 0.040
Pa -26.770 -13.339 0.000 0.000
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help for xtwest
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Westerlund error correction bad panel cointegration tests
xtwest depvar varlist [if exp] [in range] , lags(# [#]) leads(# [#]) lrwindow(#) [constant trend
bootstrap(#) westerlund noisily]
xtwest is for u with panel data. You must tst your data before using xtwest; e help tst.
Description
xtwest implements the four panel cointegration tests developed by Westerlund (2007). The underlying idea
is to test for the abnce of cointegration by determining whether there exists error correction for
individual panel members or for the panel as a whole. Consider following error correction model, where
all variables in levels are assumed to be I(1):
D.y_it = c_i + a_i1*D.y_it-1 + a_i2*D.y_it-2 + ... + a_ip*D.y_it-p
+ b_i0*D.x_it + b_i1*D.x_it-1 + ... + b_ip*D.x_it-p
+ a_i(y_it-1 - b_i*x_it-1) + u_it
a_i provides an estimate of the speed of error-correction towards the long run equilibrium
y_it = - (b_i/a_i) * x_it for that ries i. The Ga and Gt test statistics test H0: a_i = 0 for all i
versus H1: a_i < 0 for at least one i. The statistics start from a weighted average of the individualy
estimated a_i's and their t-ratio's respectively. The Pa and Pt test statistics pool information over all
the cross-ctional units to test H0: a_i = 0 for all i vs H1: a_i < 0 for all i. Rejection of H0 should
云瀑 therefore be taken as rejection of cointegration for the panel as a whole.
The tests are very flexible and allow for an almost completely heterogeneous specification of both the
long- and short-run parts of the error correction model, where the latter can be determined from the data.
The ries are allowed to be of unequal length.
If the cross ctional units are suspected to be correlated, robust critical values can be obtained批量修改文件后缀名
through bootstrapping.
Citation
xtwest is not an official Stata command. If you u xtwest plea cite Persyn, D. and J. Westerlund. 2008.
Error Correction Bad cointegration Tests for Panel Data. Stata Journal, forthcoming.打板球
Options
lags(# [#]) If one number is specified, it determines a fixed number of lags pi to be included in the
error correction equations. f two numbers are specified the Akaike information criterion is ud to
determine an optimal lag length pi for each parate time ries, within the given limits.
leads(# [#]) Similar to the option lags it determines the number of leads to be included in the error
correction equations.
lrwindow(#) Sets the width of the Bartlett kernel window ud in the mi-parametric estimation of long
run variances.
为了祖国>三年级数学口算题上册 constant When given, a constant is added to the cointegration relationship. trend Allows for a
deterministic trend in the cointegration relationship.
trend Allows for a deterministic trend in the cointegration relationship.
bootstrap(#) This option shows bootstrapped p-values for all four test statistics. The are robust in
the prence of common factors in the time ries. The argument determines the number of bootstrap一小一
replications. On Stata/IC the number of replications must be smaller than 800.
