open data pedroni_ppp.xls calendar(panelobs=246,m) 1973:6 data(format=xls,org=columns) 1//1973:06 20//1993:11 ae rf wpi cpi uswpi uscpi country entry year month set logexrate = log(ae) set logratio = log(cpi/uscpi) set logwpi_ratio = log(wpi/uswpi) source panelfm.src source paneldols.src *===== EXAMPLE 2: Model specifications ===== * with constant (default) @panelfm(bvec=||0.0||,notdum,print=short,average=simple) # logexrate logratio @paneldols(bvec=||0.0||,notdum,print=short,average=simple) # logexrate logratio * model with trend @panelfm(bvec=||0.0||,det=trend,notdum,print=short,average=simple) # logexrate logratio @paneldols(bvec=||0.0||,det=trend,notdum,print=short,average=simple) # logexrate logratio * with time dummies @paneldols(bvec=||0.0||,tdum,print=short,average=simple) # logexrate logratio @panelfm(bvec=||0.0||,tdum,print=short,average=simple) # logexrate logratio * with time dummies and trend @paneldols(bvec=||0.0||,tdum,det=trend,print=short,average=simple) # logexrate logratio @panelfm(bvec=||0.0||,tdum,det=trend,print=short,average=simple) # logexrate logratio * with different lag options @paneldols(bvec=||0.0||,dlags=5,lags=5,det=trend,notdum,print=short,average=simple) # logexrate logratio @panelfm(bvec=||0.0||,lags=5,det=trend,notdum,print=short,average=simple) # logexrate logratio *===== EXAMPLE 3: Multivariate ===== @paneldols(bvec=||0.0,0.0||,lags=5,dlags=5,notdum,print=short,average=simple) # logexrate logratio logwpi_ratio @panelfm(bvec=||0.0,0.0||,lags=5,notdum,print=short,average=simple) # logexrate logratio logwpi_ratio *===== EXAMPLE 4: Different null hypotheses per variable ===== @paneldols(bvec=||1.0,0.0,0.0,0.0||,lags=5,dlags=5,notdum,print=short,average=simple) # logexrate uswpi uscpi cpi wpi *===== EXAMPLE 5: Short-T multivariate (T=46) ===== do J=1,20 set logexrate 1977:04+(J-1)*246 1993:11+(J-1)*246 = %na set logratio 1977:04+(J-1)*246 1993:11+(J-1)*246 = %na set logwpi_ratio 1977:04+(J-1)*246 1993:11+(J-1)*246 = %na end do J @paneldols(bvec=||0.0,0.0||,lags=2,dlags=2,notdum,print=short,average=simple) # logexrate logratio logwpi_ratio @panelfm(bvec=||0.0,0.0||,lags=2,notdum,print=short,average=simple) # logexrate logratio logwpi_ratio *===== EXAMPLE 7: Saving residuals and fitted values ===== * Reload data because Example 5 overwrote with NAs open data pedroni_ppp.xls calendar(panelobs=246,m) 1973:6 data(format=xls,org=columns) 1//1973:06 20//1993:11 ae rf wpi cpi uswpi uscpi country entry year month set logexrate = log(ae) set logratio = log(cpi/uscpi) @panelfm(bvec=||0.0||,lags=5,notdum,print=short,average=simple) # logexrate logratio set ehat_fm = %resids set yhat_fm = logexrate - %resids @paneldols(bvec=||0.0||,lags=5,dlags=5,notdum,print=short,average=simple) # logexrate logratio set ehat_dols = %resids set yhat_dols = logexrate - %resids stats ehat_fm stats yhat_fm stats ehat_dols stats yhat_dols *===== EXAMPLE 8: Three averaging methods ===== @panelfm(bvec=||1.0||,lags=5,notdum,print=short,average=simple) # logexrate logratio @panelfm(bvec=||1.0||,lags=5,notdum,print=short,average=sqrt) # logexrate logratio @panelfm(bvec=||1.0||,lags=5,notdum,print=short,average=precision) # logexrate logratio @paneldols(bvec=||1.0||,lags=5,dlags=2,notdum,print=short,average=simple) # logexrate logratio @paneldols(bvec=||1.0||,lags=5,dlags=2,notdum,print=short,average=sqrt) # logexrate logratio @paneldols(bvec=||1.0||,lags=5,dlags=2,notdum,print=short,average=precision) # logexrate logratio Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width Computed common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.169935 97.413036 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.174056 88.614120 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width Computed common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.003210 29.997626 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.006913 28.105943 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.130887 154.248717 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width Computed common time dummies included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.120151 174.313972 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.184113 40.196640 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width Computed common time dummies included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.174499 42.941242 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.010235 28.380940 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.003210 29.997626 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 18 Time Periods Unbalanced Dynamic Lags 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 LOGWPI_RATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO -0.552557 -9.349950 LOGWPI_RATIO 1.528439 23.057227 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 18 Time Periods Unbalanced Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 LOGWPI_RATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO -0.658225 -9.295890 LOGWPI_RATIO 1.551160 23.710363 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 18 Time Periods Unbalanced Dynamic Lags 5 common time dummies NOT included RHS Variable H0 Coefficient USWPI 1.000000 USCPI 0.000000 CPI 0.000000 WPI 0.000000 Member Variable Coefficient t-Statistic Group USWPI -0.001367 -764.766318 USCPI -0.002383 -0.400153 CPI -0.012167 -11.368347 WPI 0.034993 28.694774 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 17 Time Periods 46 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 LOGWPI_RATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO -0.093188 1.540303 LOGWPI_RATIO 0.757852 7.900313 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 17 Time Periods 46 Kernel Width 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 LOGWPI_RATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 0.096894 1.451010 LOGWPI_RATIO 0.611792 10.734428 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.169935 97.413036 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 0.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.202432 87.886543 Statistics on Series EHAT_FM Panel(246) of Monthly Data From 1//1973:06 To 20//1993:11 Observations 4920 Sample Mean 0.009773 Variance 6.245025 Standard Error 2.499005 SE of Sample Mean 0.035627 t-Statistic (Mean=0) 0.274316 Signif Level (Mean=0) 0.783853 Skewness 0.120338 Signif Level (Sk=0) 0.000571 Kurtosis (excess) -1.189072 Signif Level (Ku=0) 0.000000 Jarque-Bera 301.722567 Signif Level (JB=0) 0.000000 Statistics on Series YHAT_FM Panel(246) of Monthly Data From 1//1973:06 To 20//1993:11 Observations 4920 Sample Mean 2.664401 Variance 0.902628 Standard Error 0.950067 SE of Sample Mean 0.013545 t-Statistic (Mean=0) 196.710594 Signif Level (Mean=0) 0.000000 Skewness -1.147984 Signif Level (Sk=0) 0.000000 Kurtosis (excess) 10.241304 Signif Level (Ku=0) 0.000000 Jarque-Bera 22581.933156 Signif Level (JB=0) 0.000000 Statistics on Series EHAT_DOLS Panel(246) of Monthly Data From 1//1973:06 To 20//1993:11 Observations 4920 Sample Mean 0.001513 Variance 6.261368 Standard Error 2.502273 SE of Sample Mean 0.035674 t-Statistic (Mean=0) 0.042419 Signif Level (Mean=0) 0.966166 Skewness 0.120766 Signif Level (Sk=0) 0.000546 Kurtosis (excess) -1.186979 Signif Level (Ku=0) 0.000000 Jarque-Bera 300.787523 Signif Level (JB=0) 0.000000 Statistics on Series YHAT_DOLS Panel(246) of Monthly Data From 1//1973:06 To 20//1993:11 Observations 4920 Sample Mean 2.672661 Variance 0.953469 Standard Error 0.976457 SE of Sample Mean 0.013921 t-Statistic (Mean=0) 191.987580 Signif Level (Mean=0) 0.000000 Skewness -1.147984 Signif Level (Sk=0) 0.000000 Kurtosis (excess) 10.241304 Signif Level (Ku=0) 0.000000 Jarque-Bera 22581.933156 Signif Level (JB=0) 0.000000 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.169935 8.665310 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.097640 8.665310 Mean Group Panel FM Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Kernel Width 5 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 0.856933 8.665310 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.174056 8.420033 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 1.104996 8.420033 Mean Group Panel DOLS Estimation LHS Variable LOGEXRATE Individuals 20 Time Periods 246 Dynamic Lags 2 common time dummies NOT included RHS Variable H0 Coefficient LOGRATIO 1.000000 Member Variable Coefficient t-Statistic Group LOGRATIO 0.787260 8.420033