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GROUPFM: RATS module for multivariate group mean panel FM-OLS tests

Author

Listed:
  • Peter Pedroni

    (Indiana University)

Programming Language

RATS

Abstract

This routine allows one to test specific hypotheses about cointegrating vectors in heterogenous panels via group mean FMOLS, as described in Pedroni, "Purchasing Power Parity Tests in Cointegrated Panels," Review of Economics and Statistics, 83, 727-731, November, 2001. By setting the panel dimension to N=1, the program will also compute conventional Phillips and Hansen (1990) time series FMOLS estimates and tests.

Suggested Citation

  • Peter Pedroni, 2001. "GROUPFM: RATS module for multivariate group mean panel FM-OLS tests," Statistical Software Components R210401, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:r210401
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/g/group-fm-pedroni.prg
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