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st: Specification of Error Correction Model (ECM) using panel data
From
Talal <[email protected]>
To
[email protected]
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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