Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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


Reference(s):

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

Note:

Example:

library("metrics")

Result:




Library: metrics
See also: panunit

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: breitung
(C) MD*TECH Method and Data Technologies, 21.9.2000