PANELFM: RATS procedure to perform panel data group mean FMOLS

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This implements Peter Pedroni's methodology for group mean panel tests using Fully Modified OLS. Pedroni (2000) "Fully Modified OLS for Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-130. Pedroni (2001) "Purchasing Power Parity Tests in Cointegrated Panels",Review of Economics and Statistics, vol. 83, 727-731. The related PANELDOLS.SRC procedure does Dynamic OLS rather than Fully Modified OLS.

Language: RATS
Requires: RATS 6.20
Keywords: Panel; cointegration; estimates (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/panelfm.src (text/plain)

Related works:
Working Paper: Purchasing Power Parity Tests in Cointegrated Panels (2001)
Working Paper: Fully Modified OLS for Heterogeneous Cointegrated Panels (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00151

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