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From |
Ed Blackburne <blackburne@shsu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: RE: RE: RE: Error Correction Model |

Date |
Wed, 30 Nov 2005 13:33:30 -0600 |

For any interested users, I have written an estimator that handles Pooled Mean Group estimation a la Pesaran et al. (Refer to JASA or http://econpapers.repec.org/paper/ednesedps/16.htm for more info.) In brief, Pesaran's method allows for a common cointegrating vector and heterogeneous short-run dynamics. My code command, xtpmg, will estimate these types of models. I have a working paper currently being reviewed that details the methodology. If anyone is interested in the code and/or paper, feel free to contact me. -Ed Blackburne On Wed, 2005-11-30 at 13:31 -0500, Salvati, Jean wrote: > > -----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/ * * 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/

**References**:**RE: st: RE: RE: RE: Error Correction Model***From:*"Salvati, Jean" <JSalvati@imf.org>

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