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| From | Talal <talalesm@yahoo.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Specification of Error Correction Model (ECM) using panel data |
| Date | Sun, 23 May 2010 14:58:25 -0700 (PDT) |
Hi all,
I want to estimate an Error Correction Model (ECM) using panel data.
I know the model specification using one explanatory variable as follow:
yt − yt−1 = B0 + B1(xt − xt−1) + (xt−1 − yt−1) + ut
But unsure what the model form using 3 explanatory variables (x1, x2, x3).
Also not sure if I can use the regional dummy variables to keep the effects fixed.
Any help with this specification will be appreciated.
Talal
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