The RATS Software Forum

Hello,
I am facing problems (i.e., error messages) running Pedroni's FMOLS estimator. Here is the simple code I am using:
***
open data C:\Research\data_rats.txt
calendar(panelobs=30,a) 1980:1
data(format=free,org=columns) 1//1980:01 6//2009:01 country year lrm2 lrnogdp ltbill
*
dec vect[strings] labels(6)
input labels
Bahrain
Kuwait
Oman
Qatar
Saudi Arabia
UAE
*
source C:\Research\panelfm.src
*
@panelfm(print=short, lags=2)
# lrm2 lrnogdp ltbill

***
I am attaching the data file for your convenience. I look forward to hearing from you. Thank you.

Aren't you getting data file errors? The data file you attached has some garbage characters at the start and produces the errors

## IO9. Invalid input "ÿþ1" on line 0 while processing series COUNTRY entry 0
## IO30. There is no series YEAR on the file
## IO30. There is no series LRM2 on the file
## IO30. There is no series LRNOGDP on the file
## IO30. There is no series LTBILL on the file

With no data, it won't get anywhere. Pull the file into Word or something like it, clean it up and re-save it.

Thank you. I saved the data in Excel and it is working well. Both the 'fmols' and 'dols' estimators report individual+panel coefficients and their respective t-statistics. Could you kindly suggest the syntax that need to be inserted in the code to obtain the respective standard errors (for both fmols and dols estimators)?

Rather than changing the existing procedure, you might want to look at just repackaging the information. The standard errors are in the %%ISTDERRS vector. See

http://www.estima.com/forum/viewtopic.php?f=8&t=1467

for an example of displaying coefficients and standard errors.