Eviews 6 - Panel with fixed effects and individual beta coef

[kevinC]

Hi,
Is it possible to run panel estimation with fixed effect and individual beta coefficients on Eviews 6, please?

I know that it's possible to have individual intercept with panel estimation with fixed effects. By individual beta coefficients, I mean, the coefficients for my exogenous variables. Let's take this example of the relationship of exchange rate equilibrium (q) and its determinants (vector X). I would like to have the coefficients for each exogenous variable of my vector "X" by individual. For example, If I have 5 countries in my sample, I would like to have a coefficient for each country for the variable "net foreign asset" for the United States, France, China...

Best

Kevin

[EViews Gareth]

Easiest thing to do is to use a Pool, rather than a panel.

[kevinC]

Easiest thing to do is to use a Pool, rather than a panel.

I have use a pool, with fixed effects and cross section specific coefficient. The results of my variables are quite corresponding to my hypothesis. I have use the DOLS (with some lag/lead=1) because my series are non stationnary I(1) and cointegrated.

This is my question : is it possible to estimate DOLS in panel with variable coefficients? The "white period" method seems to give some questionable results (all my variables are significative) so I have chosen the PCSE.

:eviews6: Dependent Variable: PE?
Method: Pooled Least Squares
Date: 06/13/13 Time: 16:21
Sample (adjusted): 2004M03 2011M11
Included observations: 93 after adjustments
Cross-sections included: 5
Total pool (balanced) observations: 465
Period weights (PCSE) standard errors & covariance (d.f. corrected)

Variable Coefficient Std. Error t-Statistic Prob.

C -6.746866 1.345184 -5.015571 0.0000
US--REERUS 0.010086 0.013138 0.767668 0.4431
UK--REERUK -0.021642 0.008358 -2.589403 0.0100
FR--REERFR -0.054232 0.023849 -2.273924 0.0235
CH--REERCH -0.008940 0.009830 -0.909504 0.3636
ALL--REERALL 0.077266 0.019115 4.042224 0.0001
US--DAUS 0.020566 0.161733 0.127158 0.8989
UK--DAUK 0.639304 0.203009 3.149134 0.0018
FR--DAFR 0.769186 0.128342 5.993245 0.0000
CH--DACH 0.309765 0.188502 1.643293 0.1011
ALL--DAALL 0.288741 0.106309 2.716047 0.0069
US--CBUS 3.158059 1.032838 3.057652 0.0024
UK--CBUK 3.212391 0.839977 3.824378 0.0002
FR--CBFR 1.903382 0.623540 3.052541 0.0024
CH--CBCH 0.853389 0.326098 2.616973 0.0092
ALL--CBALL 1.577704 0.494036 3.193503 0.0015
US--DREER 0.079229 0.046683 1.697150 0.0904
UK--DREER 0.043698 0.046169 0.946491 0.3445
FR--DREER 0.006070 0.048678 0.124695 0.9008
CH--DREER 0.002812 0.046491 0.060476 0.9518
ALL--DREER 0.043575 0.047304 0.921173 0.3575
US--DCB 3.019249 1.370712 2.202686 0.0282
UK--DCB -0.449044 1.377578 -0.325967 0.7446
FR--DCB 3.022618 1.411916 2.140791 0.0329
CH--DCB 0.248471 1.288240 0.192876 0.8472
ALL--DCB -0.225145 1.301703 -0.172962 0.8628
US--DDA 0.024058 0.132854 0.181086 0.8564
UK--DDA 0.134295 0.137019 0.980118 0.3276
FR--DDA -0.074053 0.132392 -0.559344 0.5762
CH--DDA -0.191497 0.164970 -1.160795 0.2464
ALL--DDA 0.639530 0.128231 4.987318 0.0000
US--DREER(+1) 0.074015 0.049412 1.497909 0.1349
UK--DREER(+1) 0.040842 0.049931 0.817980 0.4139
FR--DREER(+1) -0.025723 0.050207 -0.512329 0.6087
CH--DREER(+1) -0.029274 0.048245 -0.606778 0.5443
ALL--DREER(+1) 0.015497 0.047466 0.326489 0.7442
US--DCB(+1) -0.304929 1.270796 -0.239952 0.8105
UK--DCB(+1) 0.847663 1.253820 0.676065 0.4994
FR--DCB(+1) 1.662806 1.201531 1.383906 0.1672
CH--DCB(+1) 0.261232 1.246632 0.209550 0.8341
ALL--DCB(+1) 0.605666 1.223189 0.495153 0.6208
US--DDA(+1) 0.078810 0.088159 0.893957 0.3719
UK--DDA(+1) -0.017078 0.084889 -0.201186 0.8407
FR--DDA(+1) 0.029279 0.086493 0.338514 0.7352
CH--DDA(+1) 0.153879 0.098997 1.554374 0.1209
ALL--DDA(+1) -0.320124 0.087613 -3.653836 0.0003
US--DREER(-1) -0.045278 0.047273 -0.957788 0.3387
UK--DREER(-1) 0.038580 0.050800 0.759452 0.4480
FR--DREER(-1) 0.005833 0.045799 0.127353 0.8987
CH--DREER(-1) 0.059259 0.051715 1.145886 0.2525
ALL--DREER(-1) 0.072498 0.047807 1.516465 0.1302
US--DCB(-1) -0.452122 1.377362 -0.328252 0.7429
UK--DCB(-1) -1.200821 1.365934 -0.879121 0.3799
FR--DCB(-1) -2.271918 1.395507 -1.628024 0.1043
CH--DCB(-1) -0.089554 1.371527 -0.065295 0.9480
ALL--DCB(-1) -1.591370 1.389109 -1.145605 0.2526
US--DDA(-1) -0.092143 0.112309 -0.820446 0.4125
UK--DDA(-1) -0.211681 0.115944 -1.825721 0.0686
FR--DDA(-1) -0.080389 0.111190 -0.722989 0.4701
CH--DDA(-1) -0.030618 0.121626 -0.251737 0.8014
ALL--DDA(-1) 0.249809 0.110288 2.265064 0.0240
Fixed Effects (Cross)
US--C -4.008018
UK--C -3.000050
FR--C 5.283095
CH--C 6.870171
ALL--C -5.145198

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.403882 Mean dependent var 2.338223
Adjusted R-squared 0.308503 S.D. dependent var 0.790532
S.E. of regression 0.657377 Akaike info criterion 2.127880
Sum squared resid 172.8579 Schwarz criterion 2.706874
Log likelihood -429.7320 Hannan-Quinn criter. 2.355773
F-statistic 4.234494 Durbin-Watson stat 1.745900
Prob(F-statistic) 0.000000