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 pandyn

Macro: pancoint
Description: Computes FM-OLS estimates for cointegration equations with homogenous cointegration parameters and heterogeneous short-run dynamics and deterministics

Reference(s):

Usage: (output)=pancitest(z,d,m,lag, {T})
Input:
z Data NT x {2+} k matrix scalar scalar
d =0 for no deterministics, =1 for a constant, =2 for trend scalar
m truncation lag for the kernels used for the FM-OLS scalar
Output:
output table string

Note:

Example:
library("metrics")
z=read("dynpanel")
pancoint(z,1,4,1)
Result:


Library: metrics
See also: panunit pandyn

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: Joerg Breitung
(C) MD*TECH Method and Data Technologies, 17.8.2000