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Re: st: Panel cointegration


From   dar mark <[email protected]>
To   [email protected]
Subject   Re: st: Panel cointegration
Date   Sat, 27 Aug 2011 03:34:09 +0100

Thanks Biljana.
>
>
> On Thu, Aug 25, 2011 at 8:24 PM, Biljana Jonoska <[email protected]> wrote:
>>
>> Dear Mite,
>>
>> According the Pesaran's article, T should be large enough in order to obtain consistent and unbiased PMG estimates, regardless of the size of the  number of groups N. Therefore, you should be able to apply Pesaran's methodology.
>>
>> Best regards,
>> Biljana
>>
>> --- On Wed, 8/24/11, dar mark <[email protected]> wrote:
>>
>> > From: dar mark <[email protected]>
>> > Subject: Re: st: Panel cointegration
>> > To: [email protected]
>> > Date: Wednesday, August 24, 2011, 5:16 PM
>> > 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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