i am doing panel data study. all the variables are stationary at first difference level. My data shows cointegration among panels. So now how should I proceed further for estimation. On running the xtcointreg command it shows it is not recognised
Have you already installed the module? To my knowledge, it is not included in Stata by default.
At least I have used it with stata 16. You may need to use stata 16.
you need to download/install it from the module
Try the following command:
ssc install xtcointreg
xtcointreg will not work in Stata 15. Use cointreg instead
Follow the above steps.
Good luck
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