Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: RE: RE: RE: Error Correction Model


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: RE: RE: Error Correction Model
Date   Wed, 30 Nov 2005 13:31:42 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Christoph Birkel
> Sent: Wednesday, November 30, 2005 12:36 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: WG: st: RE: RE: RE: Error Correction Model
> 
> Jean,
> 
> does your Kao&Chiang-Panel-DOLS ado implement the 
> non-parametric correction for heterogenous panels? 

Not yet, I'm afraid. It was planned, but I don't use these estimators very often and I never got around to doing it.

I'll try to work on this.

Jean
 
> ----- Originalnachricht -----
> Von: "Salvati, Jean" <JSalvati@imf.org>
> Datum: Mittwoch, November 30, 2005 16:35
> Betreff: st: RE: RE: RE: Error Correction Model
> 
> > 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
> > > 
> > > 
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > > 
> > > 
> > > 
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > > 
> > 
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> > 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index