PANELFM—Pedroni(2000) fully-modified estimator

[TomDoan]

@PANELFM is a procedure for estimating the cointegrating vectors using the multivariate group mean panel FMOLS from Pedroni(2000) "Fully Modified OLS for Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-130, NONSTATIONARY PANELS, PANEL COINTEGRATION AND DYNAMIC PANELS, JAI Press.

Compared with earlier versions, this adds the option for DET=TREND (not just CONSTANT), a SMPL option for excluding data points, defines global variables for the individual coefficients and covariance matrices and defines residuals from the mean group estimates.

panelfm.src

Detailed description

The use of this procedure is covered in detail as part of the Panel/Grouped Data e-course.

A companion procedure for estimating with DOLS rather than FM OLS is @PANELDOLS.

Examples of its use are Pedroni(2001) and Pedroni JAE 2007.

[sanjeev]

Hi,
I want to do Panel Group-Mean FMOLS.I am able to run my data correctly.But when I give the command @panelfmols(Det=constant,average=simple,print=full) # Y X1 X2,the output says that this instruction doesn't have an option Det.
Can somebody please help me out?

[TomDoan]

Hi,
I want to do Panel Group-Mean FMOLS.I am able to run my data correctly.But when I give the command @panelfmols(Det=constant,average=simple,print=full) # Y X1 X2,the output says that this instruction doesn't have an option Det.
Can somebody please help me out?

Download a newer version. However, the more recent change was to allow for DET=TREND. DET=CONSTANT is the default, so just take that out.

[Ramiro1969]

Hello everyone, hi Tom

I am replicating the exercise of Pedroni (2007), "Social capital, barriers to production and Equity Equity: Implications for the Importance of Parameter Heterogeneity from a Nonstationary Panel Approach", Journal of Applied Econometrics, vol 22, no 2, 429-451.

I am using the PANELFM Procedure: @panelfm(det=trend,print=short,lags=2) # logic pc logic

I have the following question: The Panelfm procedure use the Bartlett Kernel or the Parzen Kernel?

Best regards

Ramiro

[TomDoan]

Bartlett.