* ===== Example 1: Pedroni (2001) replication =====
use https://eruygurakademi.com/datasets/pedronidata.dta, clear
xtgmcoint logexrate logratio, method(dols) dlags(4) lags(4) b(1) full ttest
xtgmcoint logexrate logratio, method(fmols) lags(4) b(1) full ttest

* Pedroni (2001) Table 1 panel "Between" exact replication
xtgmcoint logexrate logratio, method(dols) dlags(5) lags(5) b(1) pedroni2001
xtgmcoint logexrate logratio, method(dols) dlags(5) lags(5) b(1) tdum pedroni2001


* ===== Example 2: Model specifications =====
use https://eruygurakademi.com/datasets/pedronidata.dta, clear

* With constant (default)
xtgmcoint logexrate logratio, method(fmols)
xtgmcoint logexrate logratio, method(dols)

* Model with trend
xtgmcoint logexrate logratio, method(fmols) trend
xtgmcoint logexrate logratio, method(dols) trend

* With time dummies
xtgmcoint logexrate logratio, method(dols) tdum
xtgmcoint logexrate logratio, method(fmols) tdum

* With time dummies and trend
xtgmcoint logexrate logratio, method(dols) tdum trend
xtgmcoint logexrate logratio, method(fmols) tdum trend

* Different lag options
xtgmcoint logexrate logratio, method(dols) lags(5) dlags(5) trend
xtgmcoint logexrate logratio, method(fmols) lags(5) trend


* ===== Example 3: Multivariate =====
use https://eruygurakademi.com/datasets/pedronidata.dta, clear
gen logwpi_ratio = log(wpi/uswpi)
xtgmcoint logexrate logratio logwpi_ratio, method(dols) lags(5) dlags(5)
xtgmcoint logexrate logratio logwpi_ratio, method(fmols) lags(5)


* ===== Example 4: Different null hypotheses per variable via b() vector =====
xtgmcoint logexrate uswpi uscpi cpi wpi, method(dols) lags(5) dlags(5) b(1 0 0 0)


* ===== Example 5: Short-T multivariate example (T=46) =====
use https://eruygurakademi.com/datasets/pedronidata.dta, clear
gen logwpi_ratio = log(wpi/uswpi)
bysort country (time): keep if _n <= 46
xtgmcoint logexrate logratio logwpi_ratio, method(dols) lags(2) dlags(2)
xtgmcoint logexrate logratio logwpi_ratio, method(fmols) lags(2)


* ===== Example 6: Comparison with xtpedroni (Neal 2014) =====
xtgmcoint logexrate logratio, method(dols) lags(5) dlags(5) b(1) pedroni2001
xtpedroni logexrate logratio, lags(5) mlags(5) b(1) notdum notest


* ===== Example 7: Saving residuals and fitted values =====
use https://eruygurakademi.com/datasets/pedronidata.dta, clear
xtgmcoint logexrate logratio, method(fmols) lags(5) resid(ehat_fm) fit(yhat_fm)
xtgmcoint logexrate logratio, method(dols) lags(5) dlags(5) resid(ehat_dols) fit(yhat_dols)
summ ehat_fm yhat_fm ehat_dols yhat_dols


* ===== Example 8: Three averaging methods =====
xtgmcoint logexrate logratio, method(fmols) lags(5) b(1) average(simple)
xtgmcoint logexrate logratio, method(fmols) lags(5) b(1) average(sqrt)
xtgmcoint logexrate logratio, method(fmols) lags(5) b(1) average(precision)


* ===== Example 9: Density plot of unit-level estimates =====
xtgmcoint logexrate logratio, method(fmols) lags(5)
preserve
clear
svmat e(ibetas), names(beta_)
kdensity beta_1, normal
restore