GROUPFM: RATS module for multivariate group mean panel FM-OLS tests

Peter Pedroni ()
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Peter Pedroni: Indiana University

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: RATS
Requires: RATS version 4.0
Keywords: unit roots; cointegration; fully modified OLS; panel data (search for similar items in EconPapers)
Date: 2001-12-31

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http://fmwww.bc.edu/repec/bocode/g/group-fm-pedroni.prg program code (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:r210401

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