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.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
R210401.
Size: Programming language: RATS Requires: RATS version 4.0 Date of creation: 31 Dec 2001 Date of revision: Handle: RePEc:boc:bocode:r210401
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC