XTPCMG: Stata module to implement Panel Cointegrating Polynomial Regressions: Group-Mean & Pooled FM-OLS

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtpcmg estimates Fully Modified OLS (FM-OLS) for Panel Cointegrating Polynomial Regressions (CPRs). Polynomial cointegration models arise when a dependent variable is linked not just to an integrated process but also to its higher-order powers. The leading application is the Environmental Kuznets Curve (EKC), where CO2 emissions follow a quadratic or cubic function of GDP. Standard panel cointegration estimators are inconsistent for these models because the polynomial powers are perfectly correlated with the level of the integrated process. xtpcmg applies the specialised FM-OLS corrections developed in the recent econometrics literature.

Language: Stata
Requires: Stata version 14
Keywords: time series; panel data; cointegration; fully modified OLS (search for similar items in EconPapers)
Date: 2026-03-02
Note: This module should be installed from within Stata by typing "ssc install xtpcmg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtpcmg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpcmg.sthlp help file (text/plain)

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