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Pesaran CCEP estimator in eviews (8 or 9)

Posted: Sun Feb 28, 2016 11:16 am
by Wecon
I want to use Pesaran's common correlated effects pooled (CCEP) estimator. Unfortunately, EViews, the only software I am familiar with, has no standard procedure to estime such a model (if it does, please help me to find out). Nevertheless, I may have found a way to find the CCEP estimates using OLS. I find it rather difficult to explain only in words (is there a way to include math-mode in this post?), so I refer to the attachment for my suggestion on how to implement CCEP in eviews. Do you believe that the process explained there is correct to find Pesaran's CCEP estimator? If not, how should it be adjusted? Or is there another way?

I also asked the question at the economics.stackexchange website:

Re: Pesaran CCEP estimator in eviews (8 or 9)

Posted: Wed Mar 16, 2016 6:45 am
by Wecon
In found the answer to my question. It can be found following the link in the question post.