English, Article edition: GROUPFM: RATS module for multivariate group mean panel FM-OLS tests Peter Pedroni

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Bookmark: http://trove.nla.gov.au/version/103530
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  • code
Language
  • English

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Title
  • GROUPFM: RATS module for multivariate group mean panel FM-OLS tests
Author
  • Peter Pedroni
Physical Description
  • code
Notes
  • This routine allows one to test specific hypotheses about cointegrating vectors in heterogenous panels via group mean FMOLS, as described in Pedroni, "Purchasing Power Parity Tests in Cointegrated Panels," Review of Economics and Statistics, 83, 727-731, November, 2001. By setting the panel dimension to N=​1, the program will also compute conventional Phillips and Hansen (1990) time series FMOLS estimates and tests.
  • unit roots, cointegration, fully modified OLS, panel data
  • RePEc:boc:bocode:r210401
Language
  • English
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