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st: estimating real exchange half rates


From   Anders Wallacher Haukås <meg@anderswallacher.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: estimating real exchange half rates
Date   Wed, 4 Mar 2009 11:56:01 +0100

Hi Statalist members.
I?m fairly new to statalist so bear with me and advice me if my question is
lacking information or if this is not the right forum for my question.

I?m currently writing a thesis in wich I would like to estimate half life of
real exchange rates and equilibrium real exchange rates using panel data.
I want to estimate the model (y_it ? y_i,t-1) = a_i + b_i * y_i,t-1 + e_it
and test if b_1 = b_2 = ? = b
This is in effect the Dickey-Fuller transformation commonly used in unit
root testing.
Can I use the xtrc command to estimate this model and if so will the ?Test
of parameter consistency? and z-test on the common coefficient be valid even
though the individual t-test are Dickey-Fuller distributed due to the
Dickey-Fuller transformation?
Also, is the null hypothesis of the ?Test of parameter consistency? b_1 =
b_2 =?= b? I cannot find information on this in the help file.

My dataset is N=14 and T=205

Regards Anders W. Haukås


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