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st: RE: Panel Cointegration


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panel Cointegration
Date   Mon, 1 May 2006 13:49:10 -0400

I have an ado file that implements Kao and Chiang's DOLS estimator for
homogenous panels. I haven't implemented the estimator for heterogenous
panels yet (and I don't know when I will have time to do it).


Jean Salvati 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> guignar6@hei.unige.ch
> Sent: Saturday, April 29, 2006 11:11 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Panel Cointegration
> 
> Hello,
> 
> I would like to estimate a Panel Cointegrated Model, any 
> advises how to do that in stata. Are there any way to perform 
> a DOLS(Dynamic OLS) or FMOLS (Fully Modified OLS) estimation? 
> Any ado files available?
> 
> Thanks,
> 
> Laure-Anne Guignard
> 
> 
> 
> 
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