RESIDUALS IN PANEL FMOLS

[ana70]

Dear Rats Users,

In order to test causality between three series in a panel of several countries and 30 years, after testing cointegration (with pancoin.src) and using panelfm.src to estimate by FMOLS a existing long-run relationship, I have to construct a panel vector error correction model for which the error correction term is needed. Panelfm.src gives the estimated coefficients of the slopes and the corresponding t-statistics, however, I do not know how to get the estimated coefficient for the intercept and what is more important, I cannot recover the residuals of the estimation to have the error correction term.
Is there any way to recover those residuals?

Another question: How can I implement System GMM (Blundell and Bond, 1998) in a panel VAR or VECM?

Thanks a lot.

[Jim Stodder]

I can answer his first question, but still wonder about the second.

As for the intercepts, they can be seen with the command
display %%ibetas

But I also wonder how to recover the residuals. When I run the TABLE instruction after doing @panelfm, it shows me a "U" series with a zero mean and the right number of observations. But I haven't been able to figure out how to recover it as a panel data object. Thanks, JS

[TomDoan]

The most current version of @PANELFM computes %RESIDS as the residuals.

[Jim Stodder]

Thanks very much, Tom. I couldn't find that info in the online description: viewtopic.php?f=7&t=1055&p=3747&hilit=%40panelfm#p3747