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XTGMCOINT: Stata module to estimate the cointegrating relationship in heterogeneous panels using Pedroni's group-mean Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS)

Author

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  • Ozan Eruygur

    (AHBV University, Ankara, Turkiye)

Programming Language

Abstract

xtgmcoint implements Pedroni's (2000, 2001) group-mean panel Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS) estimators for heterogeneous cointegrated panels. The command provides unit-by-unit and panel-level long-run coefficient estimates with three group-mean averaging schemes (simple, square-root, and precision-weighted), supports constant and trend specifications, common time-effect removal via time dummies, multivariate cointegrating regressions, and user-specified null hypotheses on the long-run coefficients. Results have been validated against the corresponding RATS procedures (PANELFM and PANELDOLS, available on SSC).

Suggested Citation

  • Ozan Eruygur, 2026. "XTGMCOINT: Stata module to estimate the cointegrating relationship in heterogeneous panels using Pedroni's group-mean Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS)," Statistical Software Components S459687, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459687
    Note: This module should be installed from within Stata by typing "ssc install xtgmcoint". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgmcoint.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgmcoint.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgmcoint_examples.txt
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rats_codes_outputs.txt
    File Function: help file
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