The RATS Software Forum

NONE is actually not an option (we include it to make this similar to other procedures, but there's no theory for FM without at least the constant). If there's no trend in the data, the choice should be obvious. Otherwise, read Pedroni(2007) and see how he decides.

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?

Please reply soon!Its urgent.

Thanks and Regards.

It's limited by common sense. The method is based upon a single (potentially) cointegrating relationship. If you have a large number of I(1) variables, if they are cointegrated there are almost certainly cointegrated with rank bigger than 1.