panel group FMOLS

Questions related to panel (pooled cross-section time series) data.
sanjeev
Posts: 191
Joined: Mon Jun 18, 2012 6:51 am

Re: panel group FMOLS

Unread post by sanjeev »

Dear Tom,
Thanks a ton for your reply! Could you let me know how to import a table of results from RATS into excel?

sanjeev wrote:
TomDoan wrote: Board index ‹ Econometrics Issues ‹ Panel Data
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Dear Tom,
Thanks a lot for your reply!
Could you let me know the code to make a table of descriptive statistics in a panel data?

Please reply soon!

Regards.
TomDoan
Posts: 7536
Joined: Wed Nov 01, 2006 4:36 pm

Re: panel group FMOLS

Unread post by TomDoan »

sanjeev wrote:Dear Tom,
Thanks a ton for your reply! Could you let me know how to import a table of results from RATS into excel?
See

https://estima.com/ratshelp/reportwindow.html

We generally recommend that you do any formatting for appearance (number of decimals, for instance) in Excel itself.
Ramiro1969
Posts: 9
Joined: Fri Dec 23, 2022 10:23 am

Re: panel group FMOLS

Unread post by Ramiro1969 »

TomDoan wrote:1. Is there any compelling reason to believe that these series are cointegrated?
2. Is there any compelling reason to believe that these series are cointegrated, with rank one?

If they're not cointegrated, then you are doing a panel version of spurious regressions. If they're cointegrated, but of rank higher than one, then FMOLS (or DOLS, or almost anything else) won't work because there are then an infinite number of different possible cointegrating vectors. I'm not sure I've ever seen a serious piece of econometric work that claimed a single cointegrating vector among 7 I(1) variables.
Hello everyone, Hi Tom.
I am reading about FMOLS and range of cointegration, particularly about this aspect that you mentioned to Saanjev.
Please, can someone recommend me a paper or book chapter that develops the topic of cointegration rank and FMOLS?

Best regards
Ramiro
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