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Short run coefficient of Panel Cointegration
Posted: Thu Mar 27, 2014 3:07 am
by vasilika
Hello,
I am working on estimating a Panel Cointegration equation using Eviews 8.
By applying the FMOLS I am able to get the estimation of the long run relationship between the variables.
how do I move to estimate the short run coefficients and the speed of adjustement coefficient for panels?
thank you.
Re: Short run coefficient of Panel Cointegration
Posted: Thu Mar 27, 2014 1:09 pm
by EViews Glenn
DOLS has short run adjustment coefficients, though they may not be the ones you want since they are conditional on the lead differences. Both FMOLS and DOLS focus on long-run coefficients.
You'd be best off just estimating a panel error correction model. There isn't one built into EViews, but my instinct is that it shouldn't be difficult to do manually.
Re: Short run coefficient of Panel Cointegration
Posted: Fri Mar 28, 2014 1:40 am
by vasilika
would you help me with some steps on how to do it manually starting from the results of the long run ?
Re: Short run coefficient of Panel Cointegration
Posted: Fri Mar 28, 2014 9:33 am
by EViews Glenn
That's a bit beyond the kind of help that we can provide. A quick Google search of "panel error correction model" yields a host of references. The Westerlund testing framework is probably where you should look. It's basically Engle-Granger in a panel context.
Re: Short run coefficient of Panel Cointegration
Posted: Fri Apr 10, 2015 2:14 am
by Adeel Ahmad Dar
can anyone tell me the correct results of Pedroni co-integration ?