Panel cointegration estimations  possible with Eviews 7?
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Panel cointegration estimations  possible with Eviews 7?
Hi there,
I would like to know if the cointegration methods FMOLS and CCR are available with panel structured data in Eviews 7.
If not, would you have any suggestions on how to do panel cointegration estimations? I already did the DOLS (leads & lags of Stock & Watson) manually and I would like to test for robustness with the other cointegrating methods.
Thanks,
Mara
I would like to know if the cointegration methods FMOLS and CCR are available with panel structured data in Eviews 7.
If not, would you have any suggestions on how to do panel cointegration estimations? I already did the DOLS (leads & lags of Stock & Watson) manually and I would like to test for robustness with the other cointegrating methods.
Thanks,
Mara

 EViews Developer
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Re: Panel cointegration estimations  possible with Eviews 7?
Nonpanel FMOLS and DOLS are supported as builtin features in EViews 7 for nonpanel structured workfiles. It is possible that you could use these new FMOLS, DOLS tools to, with a bit of work, construct a panel version of the those estimators (by averaging over the individual crosssection estimates), but this is not viewed as a standard EViews 7 feature. The nonaveraging forms of the estimators would be more difficult to estimate.
This is on our list of things to look at for upcoming versions.
This is on our list of things to look at for upcoming versions.
Re: Panel cointegration estimations  possible with Eviews 7
Hi,
This suggestion seems good. However, I would like to know whether the averaging can also be applied to the test stastics and critical values.
Thanking you in anticipation.
This suggestion seems good. However, I would like to know whether the averaging can also be applied to the test stastics and critical values.
Thanking you in anticipation.

 EViews Developer
 Posts: 2636
 Joined: Wed Oct 15, 2008 9:17 am
Re: Panel cointegration estimations  possible with Eviews 7
Pedroni's RESTAT paper will describe what you can do...
Peter Pedroni
PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS
The Review of Economics and Statistics, November 2001, 83(4): 727–731
Peter Pedroni
PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS
The Review of Economics and Statistics, November 2001, 83(4): 727–731
Re: Panel cointegration estimations  possible with Eviews 7
EViews Glenn wrote:Nonpanel FMOLS and DOLS are supported as builtin features in EViews 7 for nonpanel structured workfiles. It is possible that you could use these new FMOLS, DOLS tools to, with a bit of work, construct a panel version of the those estimators (by averaging over the individual crosssection estimates), but this is not viewed as a standard EViews 7 feature. The nonaveraging forms of the estimators would be more difficult to estimate.
This is on our list of things to look at for upcoming versions.
As for the above promisse/expectation, is there any news regarding the panel FMOLS? Any help will be very much appreciated.

 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel cointegration estimations  possible with Eviews 7
It is still on our list for upcoming versions.
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Re: Panel cointegration estimations  possible with Eviews 7
I understand that Eviews 7 supports Panel Cointegration testing  although estimating the cointegrating equation itself takes a bit of additional programming, as explained in the previous posts under this heading. Eviews also supports Granger causality tests on panel data. So far, so good.
I am trying to construct a VEC model for panel data, and I have the following question: Is it possible to construct a PANEL ANALOGUE to the Granger causality test option that comes with nonpanel VEC estimates? For starters, I have been trying to build up such a VECGranger causality program 'by hand' so that I can understand what the program is doing. Unfortunately, I can't even manage to get the same results with that!
The documentation on the Granger causality test for VEC says that only the lagged firstdifferenced terms are tested for exogeneity, but clearly this is a different test than the Granger causality test on a group made up of those same firstdifferenced terms.
I hope I've made myself reasonably clear. Any clarification will be much appreciated.
I am trying to construct a VEC model for panel data, and I have the following question: Is it possible to construct a PANEL ANALOGUE to the Granger causality test option that comes with nonpanel VEC estimates? For starters, I have been trying to build up such a VECGranger causality program 'by hand' so that I can understand what the program is doing. Unfortunately, I can't even manage to get the same results with that!
The documentation on the Granger causality test for VEC says that only the lagged firstdifferenced terms are tested for exogeneity, but clearly this is a different test than the Granger causality test on a group made up of those same firstdifferenced terms.
I hope I've made myself reasonably clear. Any clarification will be much appreciated.

 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel cointegration estimations  possible with Eviews 7
EViews doesn't support panel Granger Causality.
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Re: Panel cointegration estimations  possible with Eviews 7
Thanks for your response, Gareth, but I must be misunderstanding something. I have here a group of two variables in a file that is clearly organized as stacked panel data  both variables show a crosssection and date id for every observation. And under the Group View command, I find, under "Granger causality," the following output:
Pairwise Granger Causality Tests
Date: 09/09/12 Time: 16:15
Sample: 1990 2010
Lags: 3
Null Hypothesis: Obs FStatistic Prob.
D(UNCRUP) does not Granger Cause D(PPHELGDPPC) 690 0.30091 0.8248
D(PPHELGDPPC) does not Granger Cause D(UNCRUP) 2.82598 0.0379
So are you saying that this output is not valid as a panel estimate? So that in effect, it is treating the panel as if it were one long time series?
Pairwise Granger Causality Tests
Date: 09/09/12 Time: 16:15
Sample: 1990 2010
Lags: 3
Null Hypothesis: Obs FStatistic Prob.
D(UNCRUP) does not Granger Cause D(PPHELGDPPC) 690 0.30091 0.8248
D(PPHELGDPPC) does not Granger Cause D(UNCRUP) 2.82598 0.0379
So are you saying that this output is not valid as a panel estimate? So that in effect, it is treating the panel as if it were one long time series?

 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel cointegration estimations  possible with Eviews 7
Yes, it is doing exactly that, with the caveat that lags are handled correctly  the lag of one crosssection does not grab data from another crosssection.
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Re: Panel cointegration estimations  possible with Eviews 7
Wow, ok  the output sure gave me some false comfort. May I suggest that the documentation here is a little less than adequate?
Now granted, there isn't any explicit description of Grangercausality testing for panel data in the Help files  only the EngleGranger tests for cointegration. (But even the inclusion of that test led me to assume the Granger 'panel test' must be for real, since Granger causality and cointegration are so closely related.) It seems to me that there should be an explicit warning of some kind that these results, while available for panels, are not valid for panels as such.
But on a more constructive note, a related question: (I never expected to get so much help on a Sunday!) If one can program panel cointegration estimates by averaging the individual FMOLS from each crosssection  is there an analogous bit of programming that one could perform via Granger causality tests on each crosssection? Thanks for your guidance.
Now granted, there isn't any explicit description of Grangercausality testing for panel data in the Help files  only the EngleGranger tests for cointegration. (But even the inclusion of that test led me to assume the Granger 'panel test' must be for real, since Granger causality and cointegration are so closely related.) It seems to me that there should be an explicit warning of some kind that these results, while available for panels, are not valid for panels as such.
But on a more constructive note, a related question: (I never expected to get so much help on a Sunday!) If one can program panel cointegration estimates by averaging the individual FMOLS from each crosssection  is there an analogous bit of programming that one could perform via Granger causality tests on each crosssection? Thanks for your guidance.

 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Panel cointegration estimations  possible with Eviews 7
I agree with you, although the documentation does explicitly state what calculation it is performing for Granger Causality (panel or not), and the test that is performed in a panel workfile is a valid test for causality in a panel, just, perhaps, not the test that most people would think of, although I'm not sure what the panel form of causality test that most people would think of actually is (any suggestions?).
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Re: Panel cointegration estimations  possible with Eviews 7
It seems that there's been quite a bit of research in panel Granger tests over the last few years. One suggestion that appears very close to the existing Eviews method is found in a paper by Laszlo Konya, "Exports and growth: Granger causality analysis on OECD countries with a panel data approach," appearing in Economic Modelling 23 (2006) pp. 978–992. What this method does is to test the standard null hypothesis within each crosssection (i.e., that ALL the coefficients on all of the lags of X are zero in the equation for Y, and vice versa), but does this within a SUR context. This is to make use of any contemporaneous correlation throughout the system  i.e., the error terms of different cross sections show contemporaneous shocks. So this seems like it would be a straightforward extension of the present Eviews method.
I don't think this is a plausible assumption for the problem I'm studying at the moment, but I can imagine it works for many international trade and macro issues  such as the paper cited.
A review of some recent approaches to this panelGranger problem is "Testing for Granger causality in heterogeneous mixed panels," by Furkan Emirmahmutoglu and Nezir Kose, in Economic Modeling 28 (2011), pp. 870876.
I don't think this is a plausible assumption for the problem I'm studying at the moment, but I can imagine it works for many international trade and macro issues  such as the paper cited.
A review of some recent approaches to this panelGranger problem is "Testing for Granger causality in heterogeneous mixed panels," by Furkan Emirmahmutoglu and Nezir Kose, in Economic Modeling 28 (2011), pp. 870876.

 EViews Developer
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Re: Panel cointegration estimations  possible with Eviews 7
Thanks for the references.
Cointegration: Estimation vs. Testing
I have used FMOLS and DOLS to estimate cointegrating equations in a panel setting, via the averaging technique of Pedroni in "PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS," Review of Econ. & Stat., Nov. 2001. This approach was kindly suggested by Gareth over a year ago. Since i have the panel residuals from the FMOLS and DOLS estimates, I would hope that there would be a simple way to test these for stationarity (implying cointegration). But that doesn't appear to be the case.
Eviews 7 does have the Pedroni panel cointegration tests on residuals, but I don't see the option of residuals from DOLS or FMOLS. Looking at it from the other side, Eviews does have the eq_name.coint routine for testing cointegration on a single equation, but its not clear to me that this can be easily generalized to a panel context. Any suggestions on my next steps will be very much appreciated. (Jim Stodder)
Eviews 7 does have the Pedroni panel cointegration tests on residuals, but I don't see the option of residuals from DOLS or FMOLS. Looking at it from the other side, Eviews does have the eq_name.coint routine for testing cointegration on a single equation, but its not clear to me that this can be easily generalized to a panel context. Any suggestions on my next steps will be very much appreciated. (Jim Stodder)
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