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st: Specification of Error Correction Model (ECM) using panel data


From   Talal <talalesm@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Specification of Error Correction Model (ECM) using panel data
Date   Sun, 23 May 2010 14:58:25 -0700 (PDT)

Hi all,

I want to estimate an Error Correction Model (ECM) using panel data.

I know the model specification using one explanatory variable as follow:

yt − yt−1 = B0 + B1(xt − xt−1) +  (xt−1 − yt−1) + ut

But unsure what the model form using 3 explanatory variables (x1, x2, x3).
Also not sure if I can use the regional dummy variables to keep the effects fixed.

Any help with this specification will be appreciated.

Talal




      

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