This is a replication for Pedroni(2007), "Social capital, barriers to production and capital shares: implications for the importance of parameter heterogeneity from a nonstationary panel approach", Journal of Applied Econometrics, vol 22, no 2, 429-451. This makes use of newer versions of @PANELFM and @PANCOINT using the DET=TREND and SMPL options. This also includes produces a more detailed table of the coefficient estimates for the individuals, and a test for homogeneity of the cointegrating vectors.
Pedroni JAE 2007
Re: Pedroni JAE 2007
Hi Tom,
I was trying to replicate the results reported in Pedroni (2007), using the Paper Replication Examples provided with the licence, but I cannot find the cointegration robust tests - CADF and Trace-B and Trace-J- which were used to accommodate cross-sectional dependency across countries. Therefore, I was wondering how could I construct these tests or whether these tests have been coded in another paper and are available to use.
Thank you very much in advance!
Mari
I was trying to replicate the results reported in Pedroni (2007), using the Paper Replication Examples provided with the licence, but I cannot find the cointegration robust tests - CADF and Trace-B and Trace-J- which were used to accommodate cross-sectional dependency across countries. Therefore, I was wondering how could I construct these tests or whether these tests have been coded in another paper and are available to use.
Thank you very much in advance!
Mari
Re: Pedroni JAE 2007
CADF is demonstrated in https://estima.com/forum/viewtopic.php?p=10208#p10208. Are you looking at a different paper? I'm not seeing anything about that in the JAE paper.mamacle wrote:Hi Tom,
I was trying to replicate the results reported in Pedroni (2007), using the Paper Replication Examples provided with the licence, but I cannot find the cointegration robust tests - CADF and Trace-B and Trace-J- which were used to accommodate cross-sectional dependency across countries. Therefore, I was wondering how could I construct these tests or whether these tests have been coded in another paper and are available to use.
Thank you very much in advance!
Mari
Re: Pedroni JAE 2007
Hi Tom,
Sorry to confuse you. I was actually looking at Social Capital, Barriers to Production and Capital Shares: Implications for the Importance of Parameter Heterogeneity from a Nonstationary Panel Approach, Peter Pedroni (2007).
Sorry to confuse you. I was actually looking at Social Capital, Barriers to Production and Capital Shares: Implications for the Importance of Parameter Heterogeneity from a Nonstationary Panel Approach, Peter Pedroni (2007).