westerlund_test_mg: Print Mean-Group ECM Output and Long-Run Relationship Tables

In Westerlund: Panel Cointegration Tests Based on Westerlund (2007)

Print Mean-Group ECM Output and Long-Run Relationship Tables

Description

Internal reporting helper that prints two Stata-style coefficient tables: (1) the mean-group error-correction model (short-run ECM output) and (2) the estimated long-run relationship with short-run adjustment. This function delegates all table computation and formatting to westerlund_test_reg.

Usage

westerlund_test_mg(b, V, b2, V2, auto, verbose = FALSE)

Arguments

b	A numeric vector of coefficients for the long-run relationship and short-run adjustment terms (as reported in the second table).
V	A numeric variance-covariance matrix corresponding to b.
b2	A numeric vector of coefficients for the mean-group error-correction model (as reported in the first table).
V2	A numeric variance-covariance matrix corresponding to b2.
auto	Logical/integer. If non-zero, prints a note indicating that short-run coefficients (apart from the error-correction term) are omitted because selected lag/lead lengths may differ across units.
verbose	Logical. If TRUE, prints additional output.

Details

What it prints. The function prints two sections:

1. Mean-group error-correction model: This corresponds to reporting the mean-group ECM coefficients (often denoted b2 with variance V2). If auto is non-zero, a note is printed to remind that short-run coefficients may be omitted due to unit-specific lag/lead selection.

2. Estimated long-run relationship and short run adjustment: This corresponds to reporting the long-run relationship and the adjustment dynamics (b with variance V).

In each section, westerlund_test_reg is called to compute standard errors, z-statistics, two-sided p-values, and 95% confidence intervals, and to print the formatted coefficient table using stats::printCoefmat().

Intended use. This is an internal display helper used in Stata-aligned reporting flows. It is not required for computing the Westerlund test statistics themselves.

Value

A named list containing two matrices:

mg_model	A numeric matrix containing the Mean-group ECM results (coefficients, SE, z, p-values, and CI).
long_run	A numeric matrix containing the long-run relationship and adjustment results.

Vignette

This section shows the expected calling pattern for westerlund_test_mg() and explains the role of the auto flag.

Two-table reporting

In mean-group implementations, it is common to show:

• a short-run ECM table (possibly with omitted coefficients when lag/lead lengths differ by unit),

• a long-run relationship table with the short-run adjustment term.

westerlund_test_mg() prints these tables sequentially.

Examples

## Long-run relationship table inputs
b <- c(alpha = -0.20, beta = 1.05)
V <- diag(c(0.03^2, 0.10^2))
rownames(V) <- colnames(V) <- names(b)

## Mean-group ECM table inputs
b2 <- c(ec = -0.18)
V2 <- matrix(0.04^2, nrow = 1, ncol = 1)
rownames(V2) <- colnames(V2) <- names(b2)

## Print both sections (auto = TRUE prints the omission note)
westerlund_test_mg(b, V, b2, V2, auto = TRUE, verbose = FALSE)

See Also

westerlund_test_reg, westerlund_test

Westerlund documentation built on Feb. 7, 2026, 5:07 p.m.