Investigating a panel/PMG estimation of Environmental degredation as a function of two globalisation regressors + GDP across panel of 45 countries 1975-2019:
PMG/ARDL: log(CO2pc) log(GLOB1) log(GLOB2) log(GDP$ppp)
Had a couple of procedural queries on PMG testing/results:
a. Pre-Testing - I presume that, as with single eq. estimation, all pre-testing - Panel unit roots, Cointegration etc - should be done in log() format ie same as the transformation used in estimation. ?
b. Panel Cointegration testing (Quick-Group Stats-JCT)
I presume I can specify the log operator in "List of series" ie: log(CO2pc) log(GLOB1) log(GLOB2) log(GDP$ppp)
rather than have to create/test explicit variables in log format first ?:"logCO2pc" "logGLOB1" "logGLOB2" "logGDP$ppp"
(so we can always import untransformed "raw" Panel data as a working rule) Any handy guidance available on when to include trend + intercept in panel/PMG ?
c. Hausman Test - How to confirm PMG is preferred to MG estimation ? - as no [seems available (yet ?) Any recommendation as to how to do HT "manually" ? WIll this omission change in near future ?
d. Non-negative error-correction (ECM) coeffs - how to interpret (a significant no. of) these in Cross Section results even though overall reported Average ECM is negative (and below -1.0 ) ? Is this "+ve ECM issue" typical in large N panels/PMG estimation - maybe suggests cross-sections are TOO diverse ?. And in utilising these "non-negative ECM" models (eg in running a model simulation outside of Eviews) could their +ve ECMs ever be simply overwritten by the (negative) Average ECM as a valid "correction" ?
Grateful for any pointers on the above
Interpreting Pooled Mean Group Diagnostics - Eviews10+
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