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| From | dar mark <darmar09@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Panel cointegration |
| Date | Wed, 24 Aug 2011 17:48:10 +0100 |
Dear Manhal, Thank you very much for your suggestion. It is very helpfull. Cheers Mite On Wed, Aug 24, 2011 at 5:26 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 >> * >> * 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/