The RATS Software Forum

Hi Tom, Thank you for your help. In fact, as far as I know there has been done very little work, if any, on allowing for spatial effects in panel cointegration models. I was thinking of perhaps applying Beck and Katz(1995) or Driscoll and Kraay (1998) to my ECM to get the correct standard errors. Th...

Hi, I am a beginner in Panel data. I am trying to estimate a panel error correction model. I have a long panel (T=1303 and N=16). The data exhibits hereroskedasticity, serial correlation and spatial correlation. I am trying to code a fixed effects regression that provides me the corrected standard e...

Hi Tom,

It works now! Thank you very much for your help.

C.

Hi Tom, Thank you for your help. The problem is that I need the residuals from either FMOLS or DOLS in order to compute an ECM for each individual in my dataset. The ECM will be computed with the differences of the variables from the long-run regression but I need to include the lagged residuals fro...

Hi Tom, I want to estimate an ECM. Firstly, since my variables are I(1) I did estimate the cointegration relationship using DOLS. After that, I am trying to save the residuals from this regression in order to construct an ECM. I compute them using %RESIDS -as you suggested- but I cannot see them in ...

Hi Tom,

I was just wondering if there is a command in RATS to compute CIPS test for unit root in the presence of Cross-Section dependence (Pesaran,2007).

Thank you!

Hi Tom,

Sorry to confuse you. I was actually looking at Social Capital, Barriers to Production and Capital Shares: Implications for the Importance of Parameter Heterogeneity from a Nonstationary Panel Approach, Peter Pedroni (2007).

Hi Tom, I was trying to replicate the results reported in Pedroni (2007), using the Paper Replication Examples provided with the licence, but I cannot find the cointegration robust tests - CADF and Trace-B and Trace-J- which were used to accommodate cross-sectional dependency across countries. There...