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st: RE: RE: RE: Error Correction Model


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: Error Correction Model
Date   Wed, 30 Nov 2005 10:35:55 -0500

Mariano,

It seems to me that you are referring to something like the DOLS estimators of Stock and Watson (1993) and (for panel data) Kao and Chiang (1998). Is that correct? 

I have ado files for these estimators, but they may need more testing and polishing. The ado for the Stock and Watson estimator is based on a RATS program. The ado for the Kao and Chiang estimator is based on these authors' Gauss program. Other than that, I don't know of any ado for these estimators.

I'm curious: how exactly do you proceed in EViews?

Jean Salvati

References:

Kao, Chihwa and Min-Hsien Chiang (1998), "On the estimation and inference of a cointegrated regression in panel data", Working Paper, Syracuse University.

Stock, James and Mark Watson (1993), "A simple estimator of cointegrating vectors in higher order integrated systems", Econometrica, July.


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Mariano Alvarez
> Sent: Wednesday, November 30, 2005 10:18 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: RE: Error Correction Model
> 
> Dear Al,
> Mi intention is to find a command that allow me to run an 
> Error Correction Model, like E-views. With an ECM I mean a 
> model which the dependent variable consists of first 
> difference of y, and the RHV consist of lags of the dependent 
> variable and lags of other variable x (which we believe it´s 
> cointegrated with y), and a component that consist of the 
> residuals from the regression of y to x. E-views allows me to 
> specificy the endogenous variable. I wonder if there is a 
> similar command in Stata that allow me to run this kind of 
> model. Thanks
> 
> Mariano
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> FEIVESON, ALAN H.
> (AL) (JSC-SK311) (NASA)
> Sent: Miércoles, 30 de Noviembre de 2005 12:02 p.m.
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: st: RE: Error Correction Model
> 
> Mariano - You have to be more specific - what exactly do you 
> mean by an "error correction model" ?
> 
> Al Feiveson 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Mariano Alvarez
> Sent: Wednesday, November 30, 2005 8:21 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Error Correction Model
> 
> Hi,
> 
> Does anyone know how to estimate in Stata an Error Correction 
> Model? I wonder if there is a Stata command in order to 
> estimate the model. Thanks in advance,
> 
> 
> Mariano
> 
> 
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