The RATS Software Forum

Hi, I would like to ask whether and how it is possible to use the RATS program oecd.prg (in the file pesaranshinsmithjasa.zip) for the pooled mean group estimator proposed by Pesaran, M.H.,Shin,Y.,Smith,R.,1999.Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Sta...

Thanks a lot for this suggestion! Indeed, I had the old version of the ABLAGS procedure... The one which is still provided in the Alphabetical Listing of RATS Procedures and Examples (http://www.estima.com/procs_perl/mainproclistwrapper.shtml). Now everything is fine and I am able to restrict the nu...

Thanks a lot for the quick reply! However, some questions remain or arise due to your reply: 1) How can I avoid that instruments fall out of the data set? I would like to use all specified instruments that I would expect to be included. 2) Do I understand correctly that I should estimate the panel e...

Hello, since I would like to estimate a dynamic panel error-correction model with lagged dependend variables, I used arellano.rpf listed in RATS Procedures and Examples. Furthermore, I applied the procedure ABLags to create more appropriate instruments: cal(panelobs=30,a) 1978 all 25//2007:1 open da...

Thank you very much! After correcting for that and some other mistakes the program runs. However, the results are very unusal since the income elasticity should be around unity and the interest rate semi-elasticity negative. In contrast, the mean group estimator shows exactly those results. Could yo...

Hello, I would like to apply the pooled mean group estimator as proposed by Pesaran, Shin and Smith(1999), "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels", JASA, vol 94, no. 446, pp 621-634. How have I to modify the pesaranshinsmithjasa.zip file to apply it to 5 instead of 3...

Thanks for the quick and informative reply!

Thanks a lot!
Now it works without any problems.

However, can you please confirm that it is correct to include the original, i.e. not decomposed, data in x but not the already estimated factors?
Or to put it in another way: Implies baing.scr a principal component analysis?

Regards,
Frauke

Hello, I want to analyse a money demand function for a panel of countries and would like to determine the number of factors to apply the PANIC methodology proposed by Bai and Ng (2004), A PANIC attack on unit roots and cointegration. Econometrica, 72, 1127–1177. Thus, I use the RATS procedure baing....