time dummies in FMOLS / DOLS / VECM

[hk976]

Hello,
I am using a panel data and i wanna include time dummy variables in FMOLS/DOLS/VECM.
I don't think this option has been built in Eveiws 9.5, yet.
Is there any way i can do manually?
Thank you

[hk976]

Are individual-specific fixed effects and heterogeneous time trends already included in
the FMOLS and DOLS?

[EViews Glenn]

As explained in the EViews documentation, in the pooled versions of these estimators, the variables are purged of individual deterministic trend terms as specified in the estimation
http://www.eviews.com/help/helpintro.ht ... tails.html
There are no automatic adjustments for time dummies, and I think it's currently difficult to specify them.

[Najid]

Hi Glenn,
I have similar question about FMOLS. After running FMOLS, how one can get its diagnostics [ LM is the Lagrange multiplier test for serial correlation. RESET is the misspecification test. HE is White’s heteroskedasticity test]
these days most of researchers are using these tests.
for example "Apergis, N., & Payne, J. E., 2011. The renewable energy consumption – growth nexus in Central America. Applied Energy. 88, 343–347."
advance thanks...