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st: Error Correction Model

From   [email protected]
To   [email protected]
Subject   st: Error Correction Model
Date   Wed, 15 Jun 2005 14:21:58 +0200 (MEST)


I would like to estimate an Error-Correction Model of the following form:

dify_t=alpha*difx_t+ beta*x_(t-1)+gamma*y_(t-1)+u_t

dif is for first differences, u_t is the residual term.

My questions are:
- is xtgls (I have a panel) the right procedure for estimating such a model
- is there an alternative procedure available in Stata for  Error Correction
- am I right that xtvec for estimating a Vector Error Correction Model is
not appropriate in this case?

Thanks for your help.

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