Pedroni(2001) PPP panel cointegration

[TomDoan]

This is a replication file for Pedroni(2001) "Purchasing Power Parity Tests in Cointegrated Panels," Review of Economics and Statistics, vol 83, pp 727-731. It demonstrates the use of the PANELFM and PANELDOLS procedures.

Program file:

pedroni_ppp.rpf

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Data file:

pedroni_ppp.xls

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PANELFM is at http://www.estima.com/forum/viewtopic.php?f=7&t=1055
PANELDOLS is at http://www.estima.com/forum/viewtopic.php?f=7&t=1056

[sds001]

Tom,

I am seeking to implement the pedronidols and fmols (panelfm and paneldols).

1. I am able to run the exemplary data and the results, but am not clear about the command language to use for running my own data. I take it that this is not coordinated with a windowed application. Does this mean that the equivalent command language Pedroni used has to be written as syntax?

2. Looking at the Pedroni results, is there an output definition file that gives clear indication of what is being reported?

3. The examples in FM-OLS and DOLS seem to be with a single predictor variable. I am assuming that applications with multiple predictors can be implemented correspondingly.

Thank you.
Steven.