st: Reproducing results from -xtpmg-

[Fredrik Vest <vest.fredrik@gmail.com>]

Hi,

I am not able to reproduce the results from the -xtpmg- command. Take
this example:
Suppose I am interested in the following ECM:
dX=b0 + k*(l.X - l.Y) + b1*dY + error, where d and l denote the
difference and lag operator.

Why don't a) anb b) below give the same results?

a)
-xtpmg d.x d.y, lr(l.x l.y) dfe cluster(region)-

b) (the way I was taught ECM-models in the pure time-series case)
-xtreg x y, fe cluster(region)-
-predict xb-
-gen resid=x-xb-
-xtreg d.x d.y l.resid, fe cluster(region)-

Is b) only valid in time-series without panels?

Consulting the article in the Stata journal belonging to -xtpmg-, I
note the following:

"For the FE model, xtpmg is simply a wrapper for Stata's xtreg, fe
command (see [XT] xtreg).
The underlying parameters of (8) are calculated with nlcom and stored
as EC. [...]"

How would I estimate my equation first using -xtreg,fe- and then -nlcom-?


-Fredrik-
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