Panel cointegration test stata

After unit root testing, what next?

The outcome of unit root testing matters for the empirical model to be estimated. The following scenarios explain the implications of unit root testing for further analysis.  Still drawing on the previous tutorials (see here for EViews, Stata and Excel) on unit root testing with the augmented Dickey-Fuller procedure (see videos), we are using the same data from Gujarati and Porter Table 21.1 quarterly data of 1970q1 to 1991q4.

Johansen cointegration test eviews interpretation

The variables in question are pce, pdi and gdp in natural logarithms.

Scenario 1:  When series under scrutiny are stationary in levels.

In this scenario, it is assumed that lnpce, lnpdi and lngdp are stationary in levels, that is, they are I(0) series (integrated of order zero).  In this situation, performing a cointegration test is not necessary.

This is because any shock to the system in the short run quickly adjusts to the long-run. Consequently, only the long run model should be estimated using OLS (where variables are neither lagged nor differenced). It is the static fo