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st: panel error-correction
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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