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

Peter Pedroni

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
References: Add references at CitEc
Citations:

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

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().