Replication Examples for Pesaran, Shin, and Smith (2001)

[nacrointfin]

Could you give the Replication Examples forf Pesaran, M. H., Y. Shin, and R. J. Smith (2001), “Bounds Testing Approaches to the
Analysis of Level Relationships,” Journal of Applied Econometrics, 16, 289–326. File attached is the data file of the paper.


Thanks

[TomDoan]

Isn't the whole point that you run OLS regressions and compute F's and t's by standard methods? The only thing non-standard is the distribution of those F's and t's, not the method for calculating them.

[nacrointfin]

Dear Tom

Yes, it is. An LS regression can do the job. What I am wondering is should the current values of differenced independent variables put in the bounds testing regression? In eq.(30) of Pesaran et al. (2001), the current values of differenced independent variables are in the regression equation. But in the manual of mircofit(see file attached, page 318, line 8 form the top ), it indicates the current values of differenced independent variables should be excluded in bounds testing and once the long run relation is verified those current values will be taken in account. Which one is correct? Or both are the same?

Thanks