Dear RATS Users,
First and foremost, Happy New Year to all of you!
For my latest revision of research, I am using the FMOLS procedure for cointegrated panels by Pedroni (Pedroni, Peter (2000) "Fully Modified OLS for
Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-130) to test for cointegration before and after a significant economic event. A reviewer suggested that I should not just rely on the point parameters (one before and after the event) but should report a statistic of potential difference between the parameters based on the Wald test. I am not quite sure on how to implement this. I could use your help.
Pieter de Jong