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st: panel error-correction

Subject   st: panel error-correction
Date   Fri, 28 Mar 2003 17:10:28 +0100


I'm dealing with some panel cointegration issues
and I have the following equation to estimate:

DeltaY var = fx(delta longrun var, lagged_error, shortrun var)

What estimation method should I use?

I tried Arellano and Bond Xtabond command but the problem is that my
variables are already
in first difference and when I use xtabond they are differenced another time.

Can anybody help me?

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