Grouped Panel DOLS and FMOLS

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Reynaldo2007
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Joined: Sun Jan 17, 2016 7:21 pm

Grouped Panel DOLS and FMOLS

Postby Reynaldo2007 » 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,

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