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Pedroni(2001) PPP panel cointegration
Posted: Thu May 05, 2011 1:19 pm
by TomDoan
This is a replication file for Pedroni(2001) "Purchasing Power Parity Tests in Cointegrated Panels,"
Review of Economics and Statistics, vol 83, pp 727-731. It demonstrates the use of the
@PANELFM and
@PANELDOLS procedures.
Re: Pedroni(2001) PPP panel cointegration
Posted: Thu Aug 13, 2015 4:15 pm
by sds001
Tom,
I am seeking to implement the pedronidols and fmols (panelfm and paneldols).
1. I am able to run the exemplary data and the results, but am not clear about the command language to use for running my own data. I take it that this is not coordinated with a windowed application. Does this mean that the equivalent command language Pedroni used has to be written as syntax?
2. Looking at the Pedroni results, is there an output definition file that gives clear indication of what is being reported?
3. The examples in FM-OLS and DOLS seem to be with a single predictor variable. I am assuming that applications with multiple predictors can be implemented correspondingly.
Thank you.
Steven.