XTGMCOINT: Stata module to estimate the cointegrating relationship in heterogeneous panels using Pedroni's group-mean Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS)

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: xtgmcoint implements Pedroni's (2000, 2001) group-mean panel Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS) estimators for heterogeneous cointegrated panels. The command provides unit-by-unit and panel-level long-run coefficient estimates with three group-mean averaging schemes (simple, square-root, and precision-weighted), supports constant and trend specifications, common time-effect removal via time dummies, multivariate cointegrating regressions, and user-specified null hypotheses on the long-run coefficients. Results have been validated against the corresponding RATS procedures (PANELFM and PANELDOLS, available on SSC).

Language: Stata
Requires: Stata version 15
Keywords: panel data; fully modified OLS; Pedroni; group mean; dynamic OLS (search for similar items in EconPapers)
Date: 2026-04-28
Note: This module should be installed from within Stata by typing "ssc install xtgmcoint". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtgmcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgmcoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgmcoint_examples.txt help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rats_codes_outputs.txt help file (text/plain)

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