Possible to implement this for panel data? MULTIPC2D http://fmwww.bc.edu/repec/bocode/m/multi-pc2d-pedroni.prg This routine allows one to test the null of no cointegration in heterogeneous panels via both parametric and semi-parametric methods. as described in Pedroni, "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, 61, 1999, 653-70. __________________________________________________ Do You Yahoo!? Tired of spam? Yahoo! Mail has the best spam protection around http://mail.yahoo.com