Short run coefficient of Panel Cointegration

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vasilika
Posts: 12
Joined: Thu Aug 05, 2010 4:32 am

Short run coefficient of Panel Cointegration

Postby vasilika » Thu Mar 27, 2014 3:07 am

Hello,
I am working on estimating a Panel Cointegration equation using Eviews 8.
By applying the FMOLS I am able to get the estimation of the long run relationship between the variables.

how do I move to estimate the short run coefficients and the speed of adjustement coefficient for panels?

thank you.

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Short run coefficient of Panel Cointegration

Postby EViews Glenn » Thu Mar 27, 2014 1:09 pm

DOLS has short run adjustment coefficients, though they may not be the ones you want since they are conditional on the lead differences. Both FMOLS and DOLS focus on long-run coefficients.

You'd be best off just estimating a panel error correction model. There isn't one built into EViews, but my instinct is that it shouldn't be difficult to do manually.

vasilika
Posts: 12
Joined: Thu Aug 05, 2010 4:32 am

Re: Short run coefficient of Panel Cointegration

Postby vasilika » Fri Mar 28, 2014 1:40 am

would you help me with some steps on how to do it manually starting from the results of the long run ?

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Short run coefficient of Panel Cointegration

Postby EViews Glenn » Fri Mar 28, 2014 9:33 am

That's a bit beyond the kind of help that we can provide. A quick Google search of "panel error correction model" yields a host of references. The Westerlund testing framework is probably where you should look. It's basically Engle-Granger in a panel context.

Adeel Ahmad Dar
Posts: 1
Joined: Fri Apr 10, 2015 2:04 am

Re: Short run coefficient of Panel Cointegration

Postby Adeel Ahmad Dar » Fri Apr 10, 2015 2:14 am

can anyone tell me the correct results of Pedroni co-integration ?


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