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Dear Tom, Thanks a ton for your reply! Could you let me know how to import a table of results from RATS into excel? Board index ‹ Econometrics Issues ‹ Panel Data Change font size User Control Panel (0 new messages) • View your postsFAQLogout [ sanjeev ] Dear Tom, Thanks a lot for your reply! Could ...

TomDoan wrote: Board index ‹ Econometrics Issues ‹ Panel Data
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User Control Panel (0 new messages) • View your postsFAQLogout [ sanjeev ]

Dear Tom,
Thanks a lot for your reply!
Could you let me know the code to make a table of descriptive statistics in a panel data?

Please reply soon!

Regards.

Dear Tom,
Can we have country fixed effects in panel cointegration and group-mean FMOLS estimation?

Thanks.

Respected Sir

I want to use Monte Carlo Integration in SVAR. I have found following coding/codes for the same (refer the attachment). Please tell whether I can use same coding/codes for my study.

Regards

Dear Tom, While conducting gragnger causality tests for certain variables, I am getting following error message: Heterogeneous Panel Causality Test Chi-Squared(21)= -77.575088 with Significance Level NA The Error Occurred At Location 624, Line 5 of loop/block ## X13. Redundant Restrictions. Using 0 ...

Hi,
Sorry to bother you so much! Please refer to the following output:

Heterogeneity Test
Chi-Squared(6)= 249.830914 with Significance Level 0.00000000
Could you let me know the code for the above test? I cant locate the corresponding code.

Probably, I didn't frame my question properly. Please refer to the following test for granger causality.Since the test allows for heterogeneity in the coefficients and variances,so there might be a test to confirm this heterogeneity....

What type of heterogeneity? You've asked that question before, and I pointed out that Baltagi has an entire chapter on different types of heterogeneity tests. Hi, The panel causality tests offered by RATS relax the assumption of homogeneity across cross-sections and therefore allow for heterogeneit...

Dear Tom,
I was wondering if you could send me the code to test heterogeneity across cross-sections in a panel.

Please reply soon.

Thanks and Regards.

Dear Tom,
Could you please send me the code for GMM estimation for time series?
Please reply soon!


Thanks and Regards.

Also in continuation with my previous mail, with the codes I am currently using,I get mean and variance equations separately from the VAR equations.Can you let me know if and how we can get both the VAR model and the mean and variance equations simultaneously?
Please reply!
Thanks.

Referring to your response below, could you please make it clear as to how exactly one can incorporate the dummy in the mean model. I tried the following but all in vain: garch(p=1,q=1,model=var1,regressors,mv=bekk,pmethod=simplex,piters=20,iters=700,stdresiduals=rstd) / x1 x2 x3 # z With this, the ...

Dear Tom, When I take more than eight endogenous variables in my model while testing for panel cointegration, I get the following message: ###@PANCOINT cannot handle more than 8 endogenous variables. My question to you is whether this limitation is imposed by the software or the technique itself? Pl...

Dear Tom,
In continuation with my previous query, I have some more queries:
While conducting granger causality tests also included ecm term in the regression for joint test.Should I include the ecm term while I conduct the individual granger causality tests also?

Dear Tom,
I was wondering as to how the degrees of freedom in the joint test for granger causality is determined.In my sample, with N=4 and T=35 with three lags,can degrees of freedom be 16?
Please reply!

Thanks and Regards.