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Re: st: Re: St:About DOLS
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: Re: St:About DOLS
Date
Sun, 26 Sep 2010 11:00:28 -0500
1. I don't know.
2. I don't know.
I have no particular knowledge of these types of models.
I would point out that -findit panel cointegration- points to several
user written commands :
-nharvey-: module to perform Nyblom-Harvey panel test of common stochastic
trends
-xtdolshm-: module to perform dynamic ordinary least squares for
cointegrated panel data with homogeneous covariance structure
-xtpmg-: module for estimation of nonstationary heterogeneous panels
-xtwest-: module for testing for cointegration in heterogeneous panels
Scott
On Sat, Sep 25, 2010 at 10:17 AM, wangpan110 <[email protected]> wrote:
> Dear Scott, can i ask you two questions, please:
>
> 1) the last condition is "the DOLS residuals must be significantly
> correlated with subsequent monthly changes in relative export prices", does
> that mean cov(Uit, Yit) is not zero? can i achieve this in STATA?
>
> 2) what is the equation for ECM under panel data( let's say i have 4
> independent variables)?
>
> your help is very appreciated
>
> pan
>
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