This study estimates cointegration models by applying the englegranger 1989 twostep estimation procedure, the phillipouliaris 1990 residualbased test and johansens multivariate technique. Kao test of no cointegration between y and x with the alternative hypothesis that they are cointegrated in all panels using xtset data xtcointtest kao y x pedroni test of no cointegration using a panelspeci. The cointegration techniques are tested on the raotbl3 data set, the world economic. Munich personal repec archive cointegration analysis of oil prices and consumer price index in south africa using stata software sukati, mphumuzi ministry of agriculture september 20 online at mpra paper no. Engle granger cointegration test using stata and eviews. Hi everybody, is there anyone willing to explain me the eviews7 output for the kaos panel cointegration tests. One way to test the existence of cointegration is the regression method see, engle and granger 1986 eg. Stock and watson 1988, and this representation can also be used as the basis for cointegration tests some of which are included in coint package for gauss. In this section we derive the limiting distributions of residual based cointegration tests using df tests and adf when applied to the model 4 in section 2. In this paper, we propose a new panel cointegration test based upon the popular lagrange multiplier test of mccoskey and kao 1998, which has a null hypothesis of cointegration.
It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when. For instance, we have established that the levels of the fed funds rate and the 3year bond rate are nonstationary, whereas their differences are stationary. Cointegration test for panel data stata statalist. The first task is to import the urca library itself. Cointegration and the ecm two nonstationary time series are cointegrated if they tend to move together through time. And in stata, we can test for cointegration using the xtcointtest command. In this post, i use simulated data to show the asymptotic properties of an ordinary leastsquares ols estimator under cointegration and spurious regression. This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund 2007.
All material on this site has been provided by the respective publishers and authors. I know from the literature that there are four statistics dfrho, dft, dfstarrho and dfstart. This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund. When requesting a correction, please mention this items handle. Phillips and sam ouliaris 1990 show that residualbased unit root tests applied to the estimated cointegrating residuals do not have the usual dickeyfuller distributions under the null hypothesis of nocointegration. Asymptotic normal distribution of these tests allows a straightforward comparison. The simplest form of the test is performed as follows. Stata module to perform pedronis panel cointegration tests and panel dynamic ols estimation. A residualbased test of the null of cointegration against. Pedroni test of no cointegration using a panelspecific autoregressive ar term and panelspecific time trends with the alternative hypothesis. Stata module for testing for cointegration in heterogeneous panels, statistical software components s456941, boston college department of economics, revised 29 jun 2010. I know from the literature that there are four statistics dfrho, dft. Pedroni 1999, pedroni 2004, kao 1999 and a fishertype test using an underlying johansen methodology maddala and wu 1999.
Both can be found via ssc install or findit in stata. Cointegration and the ecm document from says i should use. Residualbased tests for cointegration in models with regime. Performs dynamic ordinary least squares for cointegrated panel data with h.
The popular englegranger residual based test for cointegration has low power when applied to a. Then you could conduct a cointegration test on the relevant series, some of the more popular being the johansen trace test maximum eigenvalue test estimated using maximum likelihood or the more robust englegranger method estimated using ols. A panel unit root and panel cointegration test of the complementarity hypothesis in the mexican case, 19602001 miguel d. Residual based tests and a cointegration rank test in the system of health care expenditure and gdp are used to test cointegration. Recent literature has focused on tests of cointegration in a panel setting.
Hi everybody, is there anyone willing to explain me the eviews7 output for the kao s panel cointegration tests. The advantage of this test is that it possesses a number of optimality properties, which makes it a natural candidate for further research. Johansen test for cointegrating time series analysis in r. Could anyone help me the stata command for durbinhausman cointegration. I am professionally trained and the highly recogized online course provider in stata, eviews, spss. Can someone help with a panel data cointegration test. Null of cointegration against the alternative of no cointegration yongcheol shin university of cambridge this paper proposes a residual based test of the null of cointegration using a structural single equation model. Test whether or not t has a unit rootthat is, is an i1 process.
Stata cointegration tests for nonstationary series. To install the package ltimbimata from within stata, please click on. A residualbased cointegration test for near unit root variables erik hjalmarssony par osterholmz october 9, 2007 abstract methods of inference based on a unit root assumption in the data are typically not robust to. These exercises provide a good first step toward understanding cointegrated processes. Sep 06, 2016 in this post, i use simulated data to show the asymptotic properties of an ordinary leastsquares ols estimator under cointegration and spurious regression. Jan 15, 2018 the seven pedroni 1999 residual based cointegration tests first generation, i. Using panel cointegration structure for eleven european monetary union emu countries we check driscoll money demand model where three different types of variables are used that the variables of this model has a long run relationship or not. I am trying to do a cointegration tests using gold price, us cpi and vix index.
Pre test the variables for the presence of unit roots done above and check if they are integrated of the same order. Kao test of no cointegration between y and x with the alternative hypothesis that they are cointegrated. The stata blog cointegration or spurious regression. I get that the t adf statistic the kao statistic is 7. A residualbased cointegration test for near unit root. Now that weve outlined the theory of the test we are going to apply it using the r statistical environment. Cointegration analysis of oil prices and consumer price index. Cointegration test results differ for different test specifications drift, trend, etc.
We will make use of the urca library, written by bernhard pfaff and matthieu stigler, which wraps up the johansen test in an easy to call function ca. A panel unit root and panel cointegration test of the. I was wondering how are they different from xtpedroni and xtwest. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as. In the opaque terminology used in the time series literature, each. Cointegration says that they wander together, meaning that there is a longrun equilibrium relationship among the series. A residualbased cointegration test for near unit root variables. The englegranger eg test for cointegration is a twostep residual based test. The command is xtwest, if you dont have you can put help xtwest in stata and install. How to estimate durbinhausman panel cointegration test in stata. Ramirez abstract using panel data, this paper tests whether public and private capital have a positive and significant effect on aggregate output and labor productivity for mexico during the 19602001 period. Gauss programs and data matlab programs and data r programs and data a stata procedure ghansen has been written by jorge perez. The first thing you should do always is to sketch the englegranger test, explaining the null and the alternative hypotheses. Examples of the types of papers include 1 expository papers that link the use of stata commands.
How to implement johansen fisher panel cointegration tests using eviews. I then perform a test for cointegration using the engle and granger 1987 method. In this section we derive the limiting distributions of residualbased cointegration tests using df tests and adf when applied to the model 4 in section 2. Why should we use three panel cointegration test i. If the h0 unit root cannot be rejected, then the next step is to test cointegration among the components, i.
The df test can be applied to the residuals using 7 e. The program performs residual based cointegration tests on this model. Stata module to perform pedronis panel cointegration. See general information about how to correct material in repec for technical questions regarding this item, or to correct its authors, title, abstract. Testing for cointegration and building a vec model. Jmulti and its excellent documentation can be downloaded from. New tests for cointegration in heterogeneous panel data. The results show that there is no cointegration according to pedroni test, but kao test and johansen fisher indicate there is cointegration between variables.
How to implement johansen fisher panel cointegration tests. Feb 10, 2016 dear glenn, i am running a kao panel cointegration test, with n10, t43. I am working panel data analysis, wheni perform pedroni test and kao test they. Panel cointegration tests statalist the stata forum. Since i do not have access to stata 15 but stata 14, also is xtcointtest available in sscinstall. Researchers perform cointegration tests when time series are nonstationary to determine whether they have a stable, longrun relationship. I am doing a englegranger test for cointegration and i am unsure about some commands.
616 97 1450 1351 697 1260 1215 847 1487 336 42 1181 1569 551 1570 189 814 1380 47 360 297 1286 1333 840 138 155 230 449 1546 1547 273 834 1413 502 411 1207 98 621 355 743 1099 93 1395