PANELFM: RATS procedure to perform panel data group mean FMOLS
This 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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