pmg coefficients

[stepan]

Hi Tom and hi everybody,
I am new to Rats, I am wondering wheter it is possible, when applying the Pesaran, M.H.,Shin,Y.,Smith,R.,(1999) Pooled Mean Gropu estimation procedure, to get in a table both the long run coefficients and the individual specific short run coefficients and intercepts.

Thank you very much for your help

[TomDoan]

The individual-specific speeds of adjustment are in the PHI vector. The intercepts aren't actually estimated---they're treated as nuisances and swept out as part of the calculation.

[stepan]

Thank you very much for your kind reply. Is there a way to use the estimated equation for forecasting?
Thanks again.

[TomDoan]

Not really---the point of the PMG estimates is to improve the inference for the cointegrating vector, but that isn't enough to do forecasts.