Hi Everyone
I have the following Panel Dataset I extracted for Bank related metrics (Return on Assets, LoanDepositRatio, CapitalAdequacy, NonPerforming Loans as Percentage of Gross Advances and Total Assets in USD--to be converted to Rand--Cell*1000000000*AverageExhange Rate--2013 to 2023) and macroeconomic variables (Lending Rate, Interest Rate, Government Debt to GDP ratio, Unemployment rate, GDP Growth Rate and Inflation Rate). My goal is to run a panel model using ReturnOnAssets as response and after testing for stationarity on logged and 1 period lagged data (Unemployment and GDPGrowthRate) were not stationary (using the IPS and DFULLER tests) although the LLC showed stationarity.
I then ran cointegration tests on the raw variables using the KAO, Pedroni and the Westerlund tests, and here is where my problems begin. Firstly, the Pedroni and Westerlund Tests are reporting "no observations" and while the KAO Test has missing information on the first three of its metrics and associated p-values, although the two reported (Unadjusted*) were statistically significant. Furthermore, when attempting to run the cointegration regression, Stata reports that cointreg not found, even though i have utilised the correct commands as follows:
Code:
I have attached the Stata Data File.
Your help will be highly appreciated.
Regards, Tawonga
I have the following Panel Dataset I extracted for Bank related metrics (Return on Assets, LoanDepositRatio, CapitalAdequacy, NonPerforming Loans as Percentage of Gross Advances and Total Assets in USD--to be converted to Rand--Cell*1000000000*AverageExhange Rate--2013 to 2023) and macroeconomic variables (Lending Rate, Interest Rate, Government Debt to GDP ratio, Unemployment rate, GDP Growth Rate and Inflation Rate). My goal is to run a panel model using ReturnOnAssets as response and after testing for stationarity on logged and 1 period lagged data (Unemployment and GDPGrowthRate) were not stationary (using the IPS and DFULLER tests) although the LLC showed stationarity.
I then ran cointegration tests on the raw variables using the KAO, Pedroni and the Westerlund tests, and here is where my problems begin. Firstly, the Pedroni and Westerlund Tests are reporting "no observations" and while the KAO Test has missing information on the first three of its metrics and associated p-values, although the two reported (Unadjusted*) were statistically significant. Furthermore, when attempting to run the cointegration regression, Stata reports that cointreg not found, even though i have utilised the correct commands as follows:
Code:
Code:
ssc install xtunitroot xtcointtest kao ReturnOnAssets TotalAssetsRand CapitalAdequacy NPLasofAdvances LoanToDepositRatio LendingRate InflationRate xtcointtest pedroni ReturnOnAssets TotalAssetsRand CapitalAdequacy NPLasofAdvances LoanToDepositRatio LendingRate InflationRate xtcointtest westerlund ReturnOnAssets TotalAssetsRand CapitalAdequacy NPLasofAdvances LoanToDepositRatio LendingRate InflationRate ssc install xtcointreg xtcointreg ReturnOnAssets NonPerformingLoans LoanToDepositRatio TotalAssets LendingRate InflationRate xtcointreg dols ReturnOnAssets NonPerformingLoans LoanToDepositRatio TotalAssets LendingRate InflationRate, lags(1) leads(1) ssc install xtpmg xtpmg ReturnOnAssets NonPerformingLoans LoanToDepositRatio TotalAssets LendingRate InflationRate, lrtest(ec) replace mg
I have attached the Stata Data File.
Your help will be highly appreciated.
Regards, Tawonga
