Mariano,
It seems to me that you are referring to something like the DOLS estimators of Stock and Watson (1993) and (for panel data) Kao and Chiang (1998). Is that correct?
I have ado files for these estimators, but they may need more testing and polishing. The ado for the Stock and Watson estimator is based on a RATS program. The ado for the Kao and Chiang estimator is based on these authors' Gauss program. Other than that, I don't know of any ado for these estimators.
I'm curious: how exactly do you proceed in EViews?
Jean Salvati
References:
Kao, Chihwa and Min-Hsien Chiang (1998), "On the estimation and inference of a cointegrated regression in panel data", Working Paper, Syracuse University.
Stock, James and Mark Watson (1993), "A simple estimator of cointegrating vectors in higher order integrated systems", Econometrica, July.
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Mariano Alvarez
> Sent: Wednesday, November 30, 2005 10:18 AM
> To: [email protected]
> Subject: st: RE: RE: Error Correction Model
>
> Dear Al,
> Mi intention is to find a command that allow me to run an
> Error Correction Model, like E-views. With an ECM I mean a
> model which the dependent variable consists of first
> difference of y, and the RHV consist of lags of the dependent
> variable and lags of other variable x (which we believe it�s
> cointegrated with y), and a component that consist of the
> residuals from the regression of y to x. E-views allows me to
> specificy the endogenous variable. I wonder if there is a
> similar command in Stata that allow me to run this kind of
> model. Thanks
>
> Mariano
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> FEIVESON, ALAN H.
> (AL) (JSC-SK311) (NASA)
> Sent: Mi�rcoles, 30 de Noviembre de 2005 12:02 p.m.
> To: '[email protected]'
> Subject: st: RE: Error Correction Model
>
> Mariano - You have to be more specific - what exactly do you
> mean by an "error correction model" ?
>
> Al Feiveson
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Mariano Alvarez
> Sent: Wednesday, November 30, 2005 8:21 AM
> To: [email protected]
> Subject: st: Error Correction Model
>
> Hi,
>
> Does anyone know how to estimate in Stata an Error Correction
> Model? I wonder if there is a Stata command in order to
> estimate the model. Thanks in advance,
>
>
> Mariano
>
>
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