This article describes a new Stata command called xtwest, which implements the four error-correction–based panel cointegration tests developed by Westerlund (2007). The tests are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics, and dependence within as well as across the cross-sectional units.
Persyn et al. (Sun,) studied this question.