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  • How do I use Pedroni (1996) method of FMOLS to estimate cointegration vectors?

    I have a panel dataset of 130 companies from 1990-2021 on their share price and dividend. I'm trying to use Pedroni's 1996 method in 'Fully Modified OLS for Heterogenous Cointegrated Panels and the Case of Purchasing Power Parity' to estimate the cointegration vector on dividends as my variables are heterogenous and cointegrated.
    Does anyone know the stata commands to do this? Alternatively, any other method suggestions or help would be really appreciated. Thanks!
    Last edited by Florence Capes; 10 Feb 2023, 03:50.
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