Calculation of half-life for a panel unit root

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orsa_k
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Joined: Wed May 15, 2013 5:07 am

Calculation of half-life for a panel unit root

Postby orsa_k » Wed May 15, 2013 5:16 am

Hello,
I am trying to compare whether there is a difference in the converge to the mean for the real effective exchange rate during a fixed and a floating exchange rate system for a panel unit root test. The panel test I am using is the "ADF - Fisher Chi-Square" test and to be able to calculate the half-lives i need the "average unit root coefficient" from this panel unit root test test. All i get from the Eviews output is the t-statistics and the p-value. Is there any way to get the coefficient?

Thank you for your help,
Orsa

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