Factor augmented panel estimation

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

gogusteriade
Posts: 7
Joined: Mon Jun 08, 2009 3:23 pm

Factor augmented panel estimation

Postby gogusteriade » Mon Jun 08, 2009 3:58 pm

Hi!

I'm trying to estimate this equation in eviews 6.0 (it's a factor augmented panel regression):
Ajt=aj+b*Bj,t+c1,j*F1,t+c2,j*F2,t

I've created a balanced panel workfile of dimensions TxN and I don't know how to import data for the factors F1,t and F2,t since their dimension is Tx1 - they are the same for all cross-sections in a given year - but eviews automaticaly complets the data with N/A until its dimension becomes TxN. (I want to obtain cross-section specific coefficients).

Can anybody help?

Thank you!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13586
Joined: Tue Sep 16, 2008 5:38 pm

Re: Factor augmented panel estimation

Postby EViews Gareth » Mon Jun 08, 2009 4:06 pm

Create an annual page (i.e. not a panel page) in the workfile, put the data into that page, then copy it across to the panel. EViews will automatically fill in the cross-sections.

gogusteriade
Posts: 7
Joined: Mon Jun 08, 2009 3:23 pm

Re: Factor augmented panel estimation

Postby gogusteriade » Tue Jun 09, 2009 2:26 am

Thank you! I managed to do that, but I don't know how to estimate the equation imposing a homogenous coefficient on B and country-specific ones for the other variables. Is it possible to do that in eviews?


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests