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  • Westerlund error-correction-based panel cointegration tests

    Dear all,
    I am trying to do panel cointegration test using xtwest command or using Westerlund(2007) error correction based panel cointegration test. Because of the cross-sectional dependence of our panel data I used the bootstrap option. But, when I use this command "xtwest debtgdp export , constant trend lags(1) leads(1) lrwindow(3)bootstrap(200)" in the same stata version and run in different time gives me different Robust P-value. Even, when I use Stata version 12.1 and Stata version 14.2 gives me totally different results.
    I have written the result of Stata version 12.1 that I run in a different time and the same command. if you could provide me with some better suggestions on how to approach such a problem and what is the problem with it.
    This is first result
    xtwest export import , constant trend lags(1 2) leads(0 1) lrwindow(2)bootstrap(10)

    Bootstrapping critical values under H0..........
    Calculating Westerlund ECM panel cointegration tests..........

    Results for H0: no cointegration
    With 41 series and 1 covariate
    Average AIC selected lag length: 2
    Average AIC selected lead length: 1


    Statistic Value Z-value P-value Robust P-value

    Gt -2.128 1.880 0.970 0.100
    Ga -3.983 7.560 1.000 1.000
    Pt -18.004 -5.120 0.000 0.000
    Pa -7.207 1.802 0.964 0.100

    This also the second result different from the first one

    xtwest export import , constant trend lags(1 2) leads(0 1) lrwindow(2)bootstrap(10)

    Bootstrapping critical values under H0..........
    Calculating Westerlund ECM panel cointegration tests..........

    Results for H0: no cointegration
    With 41 series and 1 covariate
    Average AIC selected lag length: 2
    Average AIC selected lead length: 1


    Statistic Value Z-value P-value Robust P-value

    Gt -2.128 1.880 0.970 0.200
    Ga -3.983 7.560 1.000 1.000
    Pt -18.004 -5.120 0.000 0.000
    Pa -7.207 1.802 0.964 0.200

  • #2
    This topic was reposted with improved formatting in the General Forum (more appropriate than the Mata Forum) at

    https://www.statalist.org/forums/for...egration-tests

    so please post any responses there.

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