I am working on a panel data study. All the variables are stationary at the first difference level. My data shows cointegration among panels. So how should I proceed further with the estimation. I am using stata 17. On running the xtcointreg command, it shows it is not recognized, while I have already installed the xtcointreg package.
First, install the time-series version of cointegration regression. Use the following syntax to install it: ssc install cointreg
Dagmawe Tenaw I have already installed the package "ssc install xtcointreg". Now I am using the command "xtcointreg dep-variable indep-variable1 indep-variable2, est(dols)," but the results window shows "xtcointreg is unrecognized." Please let me know if you can assist in this regard.
Rafia Ali use the following steps to install the 'xtcointreg' package.
1. write 'search cointreg' in the command window. Then, you will find two packages in the viewer window.
2. Install first the st0272 package (Long-run covariance and its applications in cointegration regression)----just click on the link indicated.
3. After that, install the 'XTCOINTREG' module directly from the viewer screen. Or, Using 'ssc install xtcointreg'
I hope it will now work well for you. Thanks!!