Dear community,
I'm trying to estimate the CS-DL model as in the Chudik et. al (2013) using the xtdcce2 command as explained by Dr JanDitzen in "Estimating long run effects in models with cross-sectional dependence using xtdcce2". But whenever I try to estimate I get the following error;
uneven dimensions
} is not a valid command name
r(199);
However, the command that I'm trying to run is following;
xtdcce2 d.y dp d.gd d.(dp d.gd), cr(d.y dp d.gd) cr_lags(0 3 3) fullsample
If I change the cross-sectional lag structure by defining a number rather than a numlist then the model is estimatable such that;
xtdcce2 d.y dp d.gd d.(dp d.gd), cr(d.y dp d.gd) cr_lags(3) fullsample
But I don't want to take the cross-sectional lag of the dependent variable. What should I do?
Besides, I have been able to estimate the CS-ARDL without any problem. Thanks.
Regards,
Kumail
I'm trying to estimate the CS-DL model as in the Chudik et. al (2013) using the xtdcce2 command as explained by Dr JanDitzen in "Estimating long run effects in models with cross-sectional dependence using xtdcce2". But whenever I try to estimate I get the following error;
uneven dimensions
} is not a valid command name
r(199);
However, the command that I'm trying to run is following;
xtdcce2 d.y dp d.gd d.(dp d.gd), cr(d.y dp d.gd) cr_lags(0 3 3) fullsample
If I change the cross-sectional lag structure by defining a number rather than a numlist then the model is estimatable such that;
xtdcce2 d.y dp d.gd d.(dp d.gd), cr(d.y dp d.gd) cr_lags(3) fullsample
But I don't want to take the cross-sectional lag of the dependent variable. What should I do?
Besides, I have been able to estimate the CS-ARDL without any problem. Thanks.
Regards,
Kumail
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