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Re: st: Panel cointegration


From   Syed Basher <syed.basher@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel cointegration
Date   Wed, 7 Sep 2011 14:01:22 +0300

Hi,

Sorry for the late reply, but with N=5, Pesaran's xtpmg is not valid.
You need to use some bootstrap based panel cointegration test which is
designed for small (macro) panel. One option is to use Fachin's (2007)
panel cointegration test, appeared in the Journal of Applied
Econometrics (JAE) in 2007. You can find the code from JAE data
archive, but it is written in Gauss. Hope this helps.

Syed Basher
Qatar Central Bank

On Wed, Aug 24, 2011 at 7:26 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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