xtdhcoint
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Xtdhcoint
Description
Implements the Durbin-Hausman panel cointegration tests of Westerlund (2008) <doi:10.1002/jae.967>. The tests are robust to cross-sectional dependence through common factor extraction using principal components. Provides both group-mean (DHg) and panel (DHp) test statistics with automatic factor number selection via information criteria.
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