> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Christoph Birkel
> Sent: Wednesday, November 30, 2005 12:36 PM
> To: [email protected]
> Subject: WG: st: RE: RE: RE: Error Correction Model
>
> Jean,
>
> does your Kao&Chiang-Panel-DOLS ado implement the
> non-parametric correction for heterogenous panels?
Not yet, I'm afraid. It was planned, but I don't use these estimators very often and I never got around to doing it.
I'll try to work on this.
Jean
> ----- Originalnachricht -----
> Von: "Salvati, Jean" <[email protected]>
> Datum: Mittwoch, November 30, 2005 16:35
> Betreff: st: RE: RE: RE: Error Correction Model
>
> > Mariano,
> >
> > It seems to me that you are referring to something like the DOLS
> > estimators of Stock and Watson (1993) and (for panel data) Kao and
> > Chiang (1998). Is that correct?
> >
> > I have ado files for these estimators, but they may need
> more testing
> > and polishing. The ado for the Stock and Watson estimator
> is based on
> > a RATS program. The ado for the Kao and Chiang estimator is
> based on
> > these authors' Gauss program. Other than that, I don't know
> of any ado
> > for these estimators.
> >
> > I'm curious: how exactly do you proceed in EViews?
> >
> > Jean Salvati
> >
> > References:
> >
> > Kao, Chihwa and Min-Hsien Chiang (1998), "On the estimation and
> > inference of a cointegrated regression in panel data",
> Working Paper,
> > Syracuse University.
> >
> > Stock, James and Mark Watson (1993), "A simple estimator of
> > cointegrating vectors in higher order integrated systems",
> > Econometrica, July.
> >
> >
> > > -----Original Message-----
> > > From: [email protected]
> > > [mailto:[email protected]] On Behalf
> Of Mariano
> > > Alvarez
> > > Sent: Wednesday, November 30, 2005 10:18 AM
> > > To: [email protected]
> > > Subject: st: RE: RE: Error Correction Model
> > >
> > > Dear Al,
> > > Mi intention is to find a command that allow me to run an Error
> > > Correction Model, like E-views. With an ECM I mean a
> model which the
> > > dependent variable consists of first difference of y, and the RHV
> > > consist of lags of the dependent variable and lags of
> other variable
> > > x (which we believe it�s cointegrated with y), and a
> component that
> > > consist of the residuals from the regression of y to x. E-views
> > > allows me to specificy the endogenous variable. I wonder
> if there is
> > > a similar command in Stata that allow me to run this kind
> of model.
> > > Thanks
> > >
> > > Mariano
> > >
> > > -----Original Message-----
> > > From: [email protected]
> > > [mailto:[email protected]] On Behalf
> Of FEIVESON,
> > > ALAN H.
> > > (AL) (JSC-SK311) (NASA)
> > > Sent: Mi�rcoles, 30 de Noviembre de 2005 12:02 p.m.
> > > To: '[email protected]'
> > > Subject: st: RE: Error Correction Model
> > >
> > > Mariano - You have to be more specific - what exactly do
> you mean by
> > > an "error correction model" ?
> > >
> > > Al Feiveson
> > >
> > > -----Original Message-----
> > > From: [email protected]
> > > [mailto:[email protected]] On Behalf
> Of Mariano
> > > Alvarez
> > > Sent: Wednesday, November 30, 2005 8:21 AM
> > > To: [email protected]
> > > Subject: st: Error Correction Model
> > >
> > > Hi,
> > >
> > > Does anyone know how to estimate in Stata an Error
> Correction Model?
> > > I wonder if there is a Stata command in order to estimate
> the model.
> > > Thanks in advance,
> > >
> > >
> > > Mariano
> > >
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > >
> > >
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
