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Re: st: Panel cointegration


From   dar mark <darmar09@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel cointegration
Date   Wed, 24 Aug 2011 17:48:10 +0100

Dear Manhal,
Thank you very much for your suggestion. It is very helpfull.

Cheers
Mite

On Wed, Aug 24, 2011 at 5:26 PM, Manhal Mohammad Ali
<manhal.ali@gmail.com> wrote:
> Dear Mite,
>
> Traditionally panel GMM techniques like D-GMM and S-GMM there were
> used and on micro data sets where N is large for example labour, or
> patients, or companies as in Arellano and Bond's (1991) paper and T is
> small for 8 years or 5 years etc. However GMM techniques are also
> increasingly applied in economic growth for example Bond, Hoeffler and
> Temple 2001 where N, non of countries is small and T i.e. time is
> relatively large for eg 30 years. If you are motivated, I would highly
> recommend to read the papers on Roodman (2006) and Roodman (2009). In
> a nutshell, these two papers provide a pedagogic introduction to panel
> GMM techniques and warns us about the problems that arises when T is
> large and also mentions ways to deal with it. But judging from your
> case where N=5, and T=20, I think panel time series due to Pesaran
> will be more appropriate. Because as in your case some panel data sets
> have relatively small N and large T. So its best to use methods that
> are hybrid of time series and panel data methods. The pooled mean
> group estimator of Pesaran,Shin and Smith (JASA) does this. In stata,
> it is the xtpmg syntax as you mentioned. I think if you read a couple
> of papers on these then it will give a clear picture and a robust
> idea.
>
> I hope this helps you.
>
> Manhal Ali
> University of Bristol.
>
>
> On Wed, Aug 24, 2011 at 3:32 AM, dar mark <darmar09@gmail.com> wrote:
>>
>> Dear Statalisters,
>>
>> I want to do a panel cointegration analysis for N=5 T=20 panel. I have
>> searched for estimators and found Pesaran's xtpmg. Can anyone tell me
>> can I apply it and if not suggest another estimator?
>>
>> Thanks,
>> Mite
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