panel group FMOLS

[atarca]

I could not manage to include neither an intercept nor a trend term into the RATS(8.0) codes so that I could have an estimate of the intercept (or a trend) coefficient in the panel group FMOLS regression results. Pedroni (2004, Econ. Theory, 20: 597-625) and Pedroni (2007, J. Applied Econometrics, 22: 429-451) report estimates for the slope parameters as well as the average mean and average trend values with their standard errors and significance probabilities. I would appreciate it if one could suggest the necessary changes on the panelfm.src and paneldols.src files given on the webpage of ESTIMA.

Regards,

atarca

[TomDoan]

The updated versions which handle those are now available:
PANELFM (http://www.estima.com/forum/viewtopic.php?f=7&t=1055)
PANELDOLS (http://www.estima.com/forum/viewtopic.php?f=7&t=1056)

[atarca]

It helped me a lot. I greatly appreciate your efforts. Thank you very much Tom.
I also tried to obtain residuals computed by %%ibetas, but I could not succeeded. How can I change the row below to obtain what I want?

* Define the full-sample residuals
set %resids startl endl = %if(%valid(u),%eqnrvalue(0,t,%beta),%na)

Regards,
atarca

[TomDoan]

It helped me a lot. I greatly appreciate your efforts. Thank you very much Tom.
I also tried to obtain residuals computed by %%ibetas, but I could not succeeded. How can I change the row below to obtain what I want?

* Define the full-sample residuals
set %resids startl endl = %if(%valid(u),%eqnrvalue(0,t,%beta),%na)

Regards,
atarca

For the individual-specific residuals:

set %resids startl endl = %if(%valid(u),%eqnrvalue(0,t,%xcol(%%ibetas,%indiv(t))),%na)

[atarca]

Hi Tom,
I am very thankful for your support.
Regards,
Atarca

[Jim Stodder]

My panel data seems to have been read in correctly, since the random effects panel regression below is running on the whole panel. But with the @panelfm program, it looks like only the first individual is being treated. I'll appreciate any help. My code and the panelfm output are as follows, with the crucial instruction in bold:

cal(panelobs=15,a) 1994:1
all 6//15
open data outputavnonreg.rat
data(for=rats) / outputavr turnavr velavr balavr

preg(method=random) outputavr
# constant balavr ** This ran fine, with 78 usable observations and 76 degrees of freedom

@panelfm(det=constant, average=simple, print=full) 1994:1 2008:1
# outputavr balavr

Mean Group Panel FM Estimation
LHS Variable OUTPUTAVR
Individuals 1
Time Periods 13
Kernel Width Computed
common time dummies NOT included

RHS Variable H0 Coefficient
BALAVR 0.000000

Member Variable Coefficient t-Statistic
No.1 BALAVR -0.846083 -11.237724
*************
Group BALAVR -0.846083 -11.237724

[Jim Stodder]

Sorry! Never mind -- i figured it out going to the Pedroni replication: viewtopic.php?f=8&t=1057