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| From | Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: mean group |
| Date | Tue, 21 Jun 2011 14:20:38 +0100 |
xtpmg (Blackburn and Frank) with option -mg- gives you an ECM version (well, it reports the implied long-run results as well as the short-run results; an option to see the results country by country is also given). ARDL means autoregressive distributed lag, which is a levels regression with lagged dependent variable and contemporaneous and lagged covariates. This is mathematically equivalent to an ECM, which has the first difference of y as dependent variable and then adds lagged levels of y and x as well as contemporaneous and lagged differences of x (and lagged ones of y, too) as covariates. Hendry (1995) 'Dynamic Econometrics' has a discussion for a single time series how ARDL is the encompassing specification for a lot of dynamic models, including ECM. In terms of interpretation of coefficients you will get the same long-run results, although they're constructed differently. Furthermore, an ECM approach allows you to impose a long-run relationship (y-beta*x) as 'ecm' variable in order to focus on short-run dynamics and the speed of convergence/error correction mechanism. If you create lags manually (gen lx=l.x etc.) you can also use my xtmg command. Both xtpmg and xtmg commands can be found using -findit- in Stata. Best m Markus Eberhardt ESRC Post-doctoral Research Fellow, Centre for the Study of African Economies, Department of Economics, University of Oxford Stipendiary Lecturer, St Catherine's College, Oxford web: http://sites.google.com/site/medevecon/home email: markus.eberhardt@economics.ox.ac.uk twitter: http://twitter.com/sjoh2052 mail: Centre for the Study of African Economies, Department of Economics, Manor Rd, Oxford OX1 3UQ, England On 21 June 2011 13:30, Nahla Samargandi <Nahla.Samargandi@brunel.ac.uk> wrote: > Hi, > I would like know the right command for mean group MG estimator in error correction model form (ARDL)developed by Pesaran 1999, > > thank you in advance for your help > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/