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Re: st: Panel cointegration


From   Biljana Jonoska <biljanajonoska@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel cointegration
Date   Wed, 24 Aug 2011 12:34:34 -0700 (PDT)

Dear Mite,

I used xtpmg which produces pmg and mg estimates at the level of panel. PMG estimator is an ARDL based and it is special case of the VAR model. You can use PMG estimator only if there is no need of examination of simultaneous interdependence among the variables.Namely, ARDL regression is designed to establish ECM in the case when there is only one-way interdependence between dependent and explanatory variables at the level of
 cross-sections in panel, whereas PMG does the same as ARDL at the level of panel. 
STATA offers basic help for usage of xtpmg.ado package.
Please contact me if you have any further questions.
Best regards,Biljana 

--- On Tue, 8/23/11, dar mark <darmar09@gmail.com> wrote:

From: dar mark <darmar09@gmail.com>
Subject: st: Panel cointegration
To: statalist@hsphsun2.harvard.edu
Date: Tuesday, August 23, 2011, 7:32 PM

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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