Grouped Panel DOLS and FMOLS
Posted: Fri Aug 06, 2021 8:11 pm
Dear all,
I estimated a Grouped Panel DOLS and FMOLS equations and I planned to take the residuals to estimate Mean Group Panel VECMs. However, I noticed that the residual errors in each group are not centered to 0. Some of them are 16. something, some -4. anything else and this happens for vast majority of the 48 countries in my panel. Why does this happen? Given all this, it is a good idea to estimate the Panel VECMs that I planned to?
Kind regards,
I estimated a Grouped Panel DOLS and FMOLS equations and I planned to take the residuals to estimate Mean Group Panel VECMs. However, I noticed that the residual errors in each group are not centered to 0. Some of them are 16. something, some -4. anything else and this happens for vast majority of the 48 countries in my panel. Why does this happen? Given all this, it is a good idea to estimate the Panel VECMs that I planned to?
Kind regards,