PANELFM: RATS procedure to perform panel data group mean FMOLS
AbstractThis implements Peter Pedroni's methodology for group mean panel tests using Fully Modified OLS. Pedroni (2000) "Fully Modified OLS for Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-130. Pedroni (2001) "Purchasing Power Parity Tests in Cointegrated Panels",Review of Economics and Statistics, vol. 83, 727-731. The related PANELDOLS.SRC procedure does Dynamic OLS rather than Fully Modified OLS.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00151.
Programming language: RATS
Requires: RATS 6.20
Date of creation:
Date of revision:
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
Other versions of this item:
- Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
- Peter Pedroni, 2001. "Purchasing Power Parity Tests in Cointegrated Panels," Department of Economics Working Papers 2001-01, Department of Economics, Williams College.
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