| 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
|
| 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 |