Hi,
I would like to estimate an Error-Correction Model of the following form:
dify_t=alpha*difx_t+ beta*x_(t-1)+gamma*y_(t-1)+u_t
dif is for first differences, u_t is the residual term.
My questions are:
- is xtgls (I have a panel) the right procedure for estimating such a model
- is there an alternative procedure available in Stata for Error Correction
Models
- am I right that xtvec for estimating a Vector Error Correction Model is
not appropriate in this case?
Thanks for your help.
Jana
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