Library: | metrics |
See also: | panunit |
Quantlet: | pancoint | |
Description: |
Computes FM-OLS estimates for cointegration equations with homogenous cointegration parameters and heterogeneous short-run dynamics and deterministics
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Usage: | (output)=pancoint(z,d,m,lag, {T} ) | |
Input: | ||
z | NT x {2+} k data matrix | |
d | d=0 for no deterministics, =1 for a constant, =2 for trend | |
m | truncation lag for the kernels used for the FM-OLS | |
lag | number of lagged differences for the ADF test on the residuals | |
T | Common number of time periods for balanced panel (optional) | |
Output: | ||
string with output table |
library("metrics")
Library: | metrics |
See also: | panunit |