[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: mfx with tobit** - Next by Date:
**st: AW: mfx with tobit** - Previous by thread:
**st: mfx with tobit** - Next by thread:
**st: StataCorp will send email alerts (if you ask)** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |