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Re: st: Panel cointegration


From   dar mark <[email protected]>
To   [email protected]
Subject   Re: st: Panel cointegration
Date   Thu, 25 Aug 2011 01:16:04 +0100

Thank you for the explanation Biljana. I am just concerned about what
Pesaran says that xtpmg is for large N large T panels and mine is
relatively small. But at the same time he has applied it on small N
small T panels. Therefore I am litlle bit confused.

Cheers,
Mite
>
> On Wed, Aug 24, 2011 at 8:34 PM, Biljana Jonoska <[email protected]> wrote:
>>
>> 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 <[email protected]> wrote:
>>
>> From: dar mark <[email protected]>
>> Subject: st: Panel cointegration
>> To: [email protected]
>> 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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>>
>>
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>

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