VEC model using fixed effects panel data

[Diceman]

I am trying to program a vector error correction model estimation using a fixed effects panel data framework. I have never programmed it in Eviews. I was wondering if someone might have some sample program that I could modify for my project.

Thanks

[EViews Gareth]

There's nothing built in that will perform fixed effects in a VEC for you.

Without knowing anything about the econometric validity of this, you can add fixed effects by including exogenous dummy variables for the cross-sections, using the @expand command. Something like:

Code: Select all

myvar.EC(C,1) 1 2 Y X @ @EXPAND(@CROSSID, @DROPLAST)

[lnp3]

Dear list,

I am trying to program an ERROR CORRECTION MODEL estimation using a RANDOM EFFECTS & FIXED EFFECTS PANEL DATA framework. I was wondering if someone might have offered some advise that I could use for my project. I am doing a study on bank profitability using a panel of 62 banks over 17 year period (1994-2011).

I have noticed that all error corrections models using panel data first do the 1) panel unit root tests, 2) Panel co-integration tests (Pedroni/Engle-Granger based for variables 7 or less), 3) final estimation, which includes co-integrating regression (or error correction model).

1) Since there is no built in framework for panel co-integrating regression E-views, how can I calculate or write the syntax for the error correction term? (EC)
In other words, how can I add (EC) as one of my explanatory variables to the regression equation?

2) Can I do EC model estimation without doing co-integration? Is co-integration necessary component of EC model?

I really appreciate your response to these questions.

Best Regards,
Mine Doyran