Is anyone able able to help with the command to test for cointegration using Westerlund and Edgerton (2008) appraoch. I used Westerlund's commands below:
xtwest GDP LE PG GFCA Unemployment, constant trend lags(1) leads(1) lrwindow(2) bootstrap(100)
matrix results = ( round(r(gt_z), 0.01), round(r(gt_pval), 0.001)) \ ( round(r(ga_z), 0.01), round(r(ga_pval), 0.001)) \ ( round(r(pt_z), 0.01), round(r(pt_pval), 0.001)) \ ( round(r(pa_z), 0.01), round(r(pa_pval), 0.001))
matrix rownames results = Gt Ga Pt Pa
matrix colnames results = Z_value P_value
However, I'd like to use Westerlund and Edgerton's approach and account for structural breaks.
Thanks for your help.
xtwest GDP LE PG GFCA Unemployment, constant trend lags(1) leads(1) lrwindow(2) bootstrap(100)
matrix results = ( round(r(gt_z), 0.01), round(r(gt_pval), 0.001)) \ ( round(r(ga_z), 0.01), round(r(ga_pval), 0.001)) \ ( round(r(pt_z), 0.01), round(r(pt_pval), 0.001)) \ ( round(r(pa_z), 0.01), round(r(pa_pval), 0.001))
matrix rownames results = Gt Ga Pt Pa
matrix colnames results = Z_value P_value
However, I'd like to use Westerlund and Edgerton's approach and account for structural breaks.
Thanks for your help.
