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RE: st: mean group
From
Nahla Samargandi <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: mean group
Date
Tue, 21 Jun 2011 14:56:05 +0100
Thank you indeed for replying.
There are more that one command regarding the MG which of them that use to estimate Error correction Model - TO estimate a long - short Run relationship (ARDL ) Autoregressive distributed lag )
1-
ECM - MG
xtmg dlY llY llW llK dlW dlK , trend robust
2-
nlcom ((_b[llW])/(-_b[llY])) ((_b[llK])/(-_b[llY])) , post
I got this result from the first one,
gen dgdp=l.gdp etc
xtmg dgdpg lngdpc0 deducation dlnca dlnpop dfl1, trend
Pesaran & Smith (1995) Mean Group estimator
All coefficients present represent averages across groups (cou)
Coefficient averages computed as unweighted means
Mean Group type estimation Number of obs = 1306
Group variable: cou Number of groups = 52
Obs per group: min = 12
avg = 25.1
max = 28
Wald chi2(4) = 36.51
Prob > chi2 = 0.0000
------------------------------------------------------------------------------
dgdpg | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lngdpc0 | (omitted)
deducation | 8.75228 11.61385 0.75 0.451 -14.01045 31.51501
dlnca | 5.732087 1.806081 3.17 0.002 2.192234 9.27194
dlnpop | 500.2783 321.8142 1.55 0.120 -130.4659 1131.022
dfl1 | -6.580965 1.245776 -5.28 0.000 -9.022641 -4.13929
__000007_t | .2274885 .151299 1.50 0.133 -.0690521 .5240291
_cons | -11.20187 8.003771 -1.40 0.162 -26.88897 4.485233
------------------------------------------------------------------------------
Root Mean Squared Error (sigma): 4.1932
Variable __000007_t refers to a group-specific linear trend.
Share of group-specific trends significant at 5% level: 0.038 (= 2 trends)
however , I cant interpret the result, because I need to know the short and long run effect , I don't think the estimation above is the right one for this.
regarding this command
nlcom ((_b[llW])/(-_b[llY])) ((_b[llK])/(-_b[llY])) , post
could you tell me is this the right one ? if yes, where i have to replace my variable?
Best regards,
Nahla
________________________________________
From: [email protected] [[email protected]] On Behalf Of Markus Eberhardt [[email protected]]
Sent: 21 June 2011 14:20
To: [email protected]
Subject: Re: st: mean group
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: [email protected]
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 <[email protected]> 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/
*
* 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/