PANCOINT -cointegration test

Questions related to panel (pooled cross-section time series) data.

PANCOINT -cointegration test

Postby kkcydff » Tue Sep 18, 2012 12:47 pm

Hello,
I saw the following error message below when doing the cointegration test.
###@PANCOINT doesn't support DET=NONE

My Rats version is 8.10, I thought it should support that DET=NONE
Here is part of my code below:
OPEN DATA "C:\Documents and Settings\Administrator\Desktop\M-1992-2011\Research_NI_CF_I\20Years-CF_I.xlsx"
CALENDAR(PANELOBS=20,A) 1992:1
DATA(FORMAT=XLSX,ORG=COLUMNS) 1//1992:01 254//2011:01 Key Date CF C
set CFD = CF - CF{1}
set CD = C - C{1}
@pancoint(det=none,crit=BIC,tdum,title="Cointegration Test")
# CFD CD

Would you please advise how could I fix the issue?

Thanks for your help!
kkcydff
 
Posts: 1
Joined: Tue Sep 18, 2012 11:25 am

Re: PANCOINT -cointegration test

Postby TomDoan » Tue Sep 18, 2012 3:13 pm

I don't believe Pedroni derived any tables for the case without 1's. The deterministics are individual-specific.
TomDoan
 
Posts: 2719
Joined: Wed Nov 01, 2006 5:36 pm


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