XploRe Help : pancoint

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	panel
See also:	panunit

Quantlet:		pancoint
Description:		computes FM-OLS estimates for cointegration equations with homogenous cointegration parameters and heterogeneous short-run dynamics and deterministics

Reference(s):

Kao and Chung (1997) working paper, Syrakrus University.

Usage:	`output=pancoint(z,d,m,lag{, T})`
Input:
	`z`	NT x {2+}k matrix of panel data
	`d`	scalar, if d = 0, no deterministics, d = 1, a constant, d = 2, a trend
	`m`	scalar, truncation lag for the kernels used for the FM-OLS
	`lag`	scalar, number of lagged differences for the ADF test on the residuals
	`T`	optional scalar, common number of time periods for balanced panel
Output:
	`output`	string with output table

Example:

library("panel") z=read("dynpanel") pancoint(z,1,6,1)

Result:

Contents of output
[ 1,] "====================================================="
[ 2,] "FM-OLS for heterogenous panels (Kao and Chiang 1997) "
[ 3,] "====================================================="
[ 4,] "beta[ 1 ]=          2.2992       0.05347       43.001"
[ 5,] "beta[ 2 ]=        -0.69468       0.07862       -8.836"
[ 6,] "====================================================="
[ 7,] "Number of groups (N):                25              "
[ 8,] "Total number of obs. (NT):          375              "
[ 9,] "Truncation lag:                       6              "
[10,] "====================================================="
[11,] "                                                     "
[12,] "    Unit-Root tests applied to the OLS-residuals     "
[13,] "====================================================="
[14,] "Pooled Dickey-Fuller Regression:  1'th variable      "
[15,] "====================================================="
[16,] "PARAMETERS        Estimate     robust SE      t-value"
[17,] "====================================================="
[18,] "Lag[1]=            -0.0526       0.0390        -1.348"
[19,] "Delta[ 1]=         -0.0073       0.0605        -0.121"
[20,] "const=              0.1763       0.1556         1.133"
[21,] "====================================================="
[22,] "N*T=    375      N=   25           With constant     "
[23,] "Unit root statistics:                                "
[24,] "STATISTIC      Value  crit. Value (5%)  mean variance"
[25,] "====================================================="
[26,] "B/M (1994)     -1.972     -1.65       0.000     1.000"
[27,] "L/L (1993)     -0.019     -1.65      -0.601     0.878"
[28,] "mod. L/L       -2.219     -1.65       0.000     1.000"
[29,] "I/P/S (1997)   -1.039     -1.65      -1.472     0.954"
[30,] "====================================================="

Author: J. Breitung, 20011012 license MD*Tech