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  • Durbin-Hausman cointegration test, developed by Westerlund (2008)

    Hi there

    Can anyone help with the stata command for this test "Durbin-Hausman cointegration test, developed by Westerlund (2008)"? It is panel cointegration test uses in case of present cross-section dependency and the series are in different order of cointegration I(0), I(1).

    Thanks very much

  • #2
    The output of
    Code:
    search westerlund
    will point you to a base Stata command and a user-written Stata command, which perhaps will help with what you want to do.

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    • #3
      Thanks William.
      searching for "westerlund" comes just with results related to Westerlund (2007) (xtwest -- Westerlund error-correction-based panel cointegration tests)

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