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 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.
The first estimation
Code:
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
Code:
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
Ermiyas
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