Thanks to Kit Baum, a new package xtgmcoint is now available for download from SSC. To install, type in Stata:
ssc install xtgmcoint
xtgmcoint implements Pedroni's (2000, 2001) group-mean panel Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS) estimators for heterogeneous cointegrated panels.
The command provides unit-by-unit and panel-level long-run coefficient estimates with three group-mean averaging schemes (simple, square-root, and precision-weighted). It supports constant and trend specifications, common time-effect removal via time dummies, multivariate cointegrating regressions, and user-specified null hypotheses on the long-run coefficients. Results have been validated against the corresponding RATS procedures (PANELFM and PANELDOLS, available on SSC).
For Pedroni (2001) Table 1 replication and additional examples using a publicly available dataset, see the help file:
help xtgmcoint
The latest version of the package is also available from the author's site:
net install xtgmcoint, from(https://www.eruygurakademi.com/stata/)
Comments, suggestions, and bug reports are welcome.
Best regards,
H. Ozan Eruygur
AHBV University, Department of Economics
& Eruygur Academy and Consulting
Web: https://www.eruygurakademi.com
Email: [email protected]
ssc install xtgmcoint
xtgmcoint implements Pedroni's (2000, 2001) group-mean panel Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS) estimators for heterogeneous cointegrated panels.
The command provides unit-by-unit and panel-level long-run coefficient estimates with three group-mean averaging schemes (simple, square-root, and precision-weighted). It supports constant and trend specifications, common time-effect removal via time dummies, multivariate cointegrating regressions, and user-specified null hypotheses on the long-run coefficients. Results have been validated against the corresponding RATS procedures (PANELFM and PANELDOLS, available on SSC).
For Pedroni (2001) Table 1 replication and additional examples using a publicly available dataset, see the help file:
help xtgmcoint
The latest version of the package is also available from the author's site:
net install xtgmcoint, from(https://www.eruygurakademi.com/stata/)
Comments, suggestions, and bug reports are welcome.
Best regards,
H. Ozan Eruygur
AHBV University, Department of Economics
& Eruygur Academy and Consulting
Web: https://www.eruygurakademi.com
Email: [email protected]
