Hello TomDoan,
Thanks for your valuable advice. If I don't tests the with dummy, then can I include dummy when estimate the long run coefficient with group mean FMOLS (if the variables are cointegrated)?
Thanks,
Search found 2 matches
- Wed Nov 07, 2012 6:16 pm
- Forum: Panel Data
- Topic: Pedroni cointegration and GM-FMOLS
- Replies: 3
- Views: 8912
- Mon Nov 05, 2012 9:41 pm
- Forum: Panel Data
- Topic: Pedroni cointegration and GM-FMOLS
- Replies: 3
- Views: 8912
Pedroni cointegration and GM-FMOLS
Hello, I attempt to perform the Pedroni cointegration test and the GM-FMOLS using RATS version 8. However, I faced several problems and I need your help. 1. My estimation model consists of at least 8 explanatory variables, but 3 of them are dummy variables. I am not sure whether I should include all...