*! version 1.1 27feb2011
help xtcointreg {}

Title

xtcointreg -- Panel dataset generalization of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical correlation regression methods

Syntax

xtcointreg depvar indepvars [if] [in] [,
est(method) noconstant
eqtrend(#) eqdet(varlist) xtrend(#)
xdet(varlist)
diff stage(#) nodivn
dlead(#) dlag(#) dic(string) dmaxorder(#)
dvar(varlist) dvce(string) level(#) full
lrcov_options]

depvar may contain time-series operators.

indepvars may contain time-series operators and factor variables.

Description

xtcointreg generalizes Qunyong Wang and Na Wu's cointreg command to panel data. It does Panel Dynamic OLS (PDOLS) and Panel Fully Modified OLS (FMOLS). The main option est and a new option full is included in this documentation. For other questions consult the original cointreg's documentation.

Options

est(method) specifies the estimation method,
which can be fmols, dols, or ccr. The default is
est(fmols).

full shows results for all individual panels.

Author

Ravshanbek Khodzhimatov

rsk@ravshansk.com